Probably a neurodivergent thing to some degree, but I don't know how literal people are being when they talk about being scared during/after watching a movie about scary things.
I can totally get picking up second-hand anxiety from on-screen portrayals, similar to picking up second-hand embarrassment or cringe.
But to my mind that's very different emotion from fear, and I don't quite grasp being afraid of something you understand is fictional, or what precisely persists after the movie is done.
I mean sure, jumpscares can be startling in the moment, but I don't get walking around with elevated threat-perception outside of the very narrow context of suspending disbelief, which is what people seem to describe. Threat of what?
Do people actually worry that the axe murderer is going to walk out of the TV and kill them in their beds? Is it just hyperbole when they talk about being afraid during, or especially afterwards? What do people actually experience?
Yes it's a stupid question, but I'm wired up funny and have no ground truth here.
For bonus points, I don't get sad at sad movies either: oh no, they stopped drawing the deer. But what really fucks me up is sudden vindication, and I don't know what to call that emotion.
As an accessible example: Inside Out. I didn't blink at Bing Bong dying, but when Joy finally realised what Sadness was for, and that she wasn't just a useless burden... I have very few defenses against whatever the hell that emotion is. What is it, exactly?
I suspect it has to do with the amygdyla being short-term sensitized.
It's not a rational organ - rationality, logic, etc are things generated by the cortex (If I remember my biology classes from decades ago). The amygdyla is old and reactive, to keep us alive. It doesn't know "Scary Thing" wasn't real.
I believe there's also a connection to hormonal feedback (again, thanks to the amygdyla).
My guess is sympathetic response and adjacent fears (an axe murderer might not attack you, but a fear of a "strange" neighbor could be unnecessarily exacerbated)