They're all monsters
Convincing you they're living under the bed or even in the closet
The “monsters” that Ash is referring to is the media.
In many shows/stories, kids (or at least usually kids) will want their mother/father to check under their bed for monsters (which is the media in this context).
Being “convinced” that “they” (media) is “living under the bed or even in the closet” refers not being able to get away from the media because they are everywhere, such as the radio and television.
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