violence desensitization, conditioning re other's pain, effect on developing prefrontal cortex and limbic system, emotional stability and connection to affect disorders particularly in vulnerable youth
Well, if you read what writers think, it let's people experience fear without actually putting themselves in danger - it's a space to explore the dangerous without the consequences of the act (I think Neil Gaiman said something like this).
So following that, it might provoke a fight-flight-freeze response without the person being in real physical danger.
Like others say, it might have negative effects on vulnerable children, such as neuro-cognitive connections between fear and pleasure, for example.
I would suggest looking up keywords 'horror' neuropsychology' 'cognition' 'film' (maybe even vicarious learning)