Eh, some of them are definitely disrespectful to our Gods, it dosen't mean much if you say you praise Lord Satan and then happily watch a movie blaspheming him does it? The Gods are very forgiving but by definition if they are forgiving you, then your doing something wrong, if you know what your doing is wrong and do it anyways why would the Gods ever bother helping you going forward? What secrets would they trust with such a person? what powers would they grant such a person?
Do you think HPHC in his spare time plays doom and watches the exorcist?
However if the horror film is not disrespectful to our Gods then its no problem, e.g Scream or that one with the monsters that kill if you look at them, and frankly the ones that dont insult our Gods are universally better either way.
Occult horror movies are more of a grey area IMO there are some horrifying things in the astral which have nothing to do with our Gods and not all forms of the Occult are associated with us, so its contextual.