Do you deny that scripture teaches that John the Baptist was the Elijah to come (Luke 1:13-17, Matthew 11:7-15, Matthew 17:9-13)? That is the question you need to answer first before answering these other questions yourself.
I don't want the day of the Lord to be anything except what scripture teaches about it, but you're thinking of the wrong day of the Lord. There isn't just one day of the Lord in scripture. That is what many people, like yourself, miss. If you read Acts 2:16-21 you should see that it quotes Joel 2:28-32, which is also about the same day of the Lord as Malachi 4:5-6. And, yet, in Acts 2:16-21, Peter relates what happened on the day of Pentecost long ago to the great and dreadful day of the Lord.
What you don't understand is that the first coming of Christ and related events to that was the day of the Lord that Malachi 4:5-6 and Joel 2:28-32 prophesied about while the future day of the Lord is about His second coming as Paul prophesied about in 1 Thess 4:13-5:6 and Peter prophesied about in 2 Peter 3:3-13.
The reason Christ's first coming was considered "great and dreadful" is because there were both great and dreadful things that occurred around that time. One dreadful thing is that He was rejected and crucified, but the great thing is that He rose again from the dead and conquered death which brought the hope of eternal life to the world. But, it also brought condemnation to those who rejected Him so it was dreadful in that sense as well.
What happened on the day of Pentecost after His ascension was also great because that is when the Holy Spirit began to dwell in the hearts of Christians and when the gospel began to be shared through the power of the Holy Spirit.