Anything claiming to improve your physical health is not safe for 100% of the human population.
Something simple and generalized as positive to humans like exercise, while it could improve health for most people, can be dangerous to a subpopulation like the portion of the elderly who may have some sort of physical impairment. Take running for example. Running is considered a great form of exercise. If you were to tell a person who needs a cane to assist their walking, their attempt to run could result in serious injury in a fall.
Most health web sites would probably recommend running as a form of exercise. These sites would like state something to the effect of "Do not start or change an exercise regimen without consulting your physician."
Society tends to put restrictions on harmful things. A horror movie is very unlikely to cause serious physical damage to most people. There may be a subpopulation that could be "scared to death" instead of "scared half to death" but that's definitely not the typical end result of watching a horror movie.
A horror movie could have a short term negative effect on some people. Some people may have nightmares after watching a horror movie. Medical literature generally suggests an adult to have seven-to-nine hours of sleep per night for optimal health. If a nightmare or a serious of nightmares prevents someone from getting their optimal amount of sleep, this could have a negative effect on their health, mood, or productivity the next day. Someone who has nightmares could potentially have suboptimal health the day after watching a horror movie.
Someone suffering from a post-traumatic stress disorder (PTSD) from physical or psychological violence could be triggered by watching a horror movie. In the United States a horror movie typically receives an R-Restricted status that prevents someone under seventeen-years of age from watching the movie without parent or guardian approval. The concept here is that society generally accepts that by the time someone is seventeen-years-old they should know if they're a subpopulation that could be harmed by watching an R-Restricted movie.
Horror movies have a positive effect on many people. After a long week, watching a horror movie could help someone who enjoys the genre to relax and destress from their week. This could potentially result in better health the next day, the opposite of previously mentioned suboptimal performance from watching the movie. This doesn't remove the necessity for a horror movie to be R-Restricted, but it does suggest that horror movies can be useful and should not be banned.