Claiming that watching horror movies can have certain health benefits is correct. As referenced in the below (and original) article, a study investigating an association between psychological preparedness to the COVID-19 pandemic and consuming morbid or horror-based media had positive results. It asserts that "simulating" fearful situations assisted with rational reactions during the pandemic and moderating intense emotional responses. The study was published by the National Library of Medicine, a reputable government-regulated website. Additionally, it was conducted by four professionals with relevant graduate degrees to the topic.
Other claims communicated in the article such as that horror media can give individuals a mood-boosting adrenaline rush and that consuming horror can lead to personal insight about one's fears are equally verifiable. All arguments reference academic articles published on non-for-profit, institution-based websites. Additionally, these studies' authors either are directly searchable by their work or have listed credentials on such sites.
Thus, while psychological variation is inherent to consumers' relationships with horror media (preventing such films' universal benefit), the primary article acknowledges this. In its rebuttal, it asserts that horror content can increase short-term anxiety as well as develop callousness to violence in real life.
Therefore, to the extent that its potential health benefits are clinically proven, horror can legitimately improve mental and physical well being. However, depending on individual psyche and preferences, these advantages may be inapplicable.
Source (same as above): https://www.livestrong.com/article/13778648-are-horror-movies-bad-for-you/