I think the claim that horror movies has mental health benefits is partially true, although I think it depends on the person. The article says that watching horror movies can help you cope or overcome your fears, or help you know how you'd handle yourself if you are ever in a situation that elicits those emotions.
I think this is only partially true though, because everyone handles situations differently. Watching horror movies can provide a negative impact to people's mental health as well, and could do the harm of causing nightmares and lack of sleep because of things they just watched. Despite there being no evidence for long-term negative mental health effects, it could still cause temporary struggle in some's day-to-day lives if they are so freaked out by something.