It'll snap them back to reality. Horror movies are jarring to get our attention. They keep us on our toes (even though we're really on our butts while we watch them). That's important for humans. We need to be sure our heart is working. Horror movies will make absolutely make sure of that.
It won't hurt them. Don't let people tell you that you're a terrible parent for allowing your kids to watch something scary. They're your kids, and it's not as though you're forcing them to watch it. You're simply allowing them to. Your kids won't break just because they're scared. But they will get tougher.