As for At the "Mountains of Madness" specifically, I think it has more substance than most of his tales and I think becomes an easier read once you recognise the framing device for what it is; a thin pretext to tell "A Brief History of the Elder Things."
If by "substance" you mean an encyclopedic recounting of the "History of Elder Things," then yes, At The Mountains of Madness
has "substance." If you mean story, character or even theme, then it has far less substance than the vast majority of his writing.
I'll say again. I like HPL -- as both a storyteller and a word-smith. And I recognize that his contributions have more to do with his ideas
than with his style
. But comparatively speaking, At The Mountains of Madness
is a terrible story that was terribly written. The problem with the story, as you refer to it, is its "framing device." It's not simply a "thin pretext," it's a poorly devised and even more poorly executed pretext -- even by Lovecraft's own standards of storytelling, characterization and word-smith ability (by whatever definitions you wish to apply to those terms).