I've got to say, I've never actually met anybody that admitted to taking paranormal nonsense seriously. People understand that "Freddy" isn't real, and that kind of slasher-fic is not why people own guns for home defense.
Isn't that the point of a horror movie though? The audience is supposed to know that it isn't real, and are supposed to be scared of what it symbolizes.
If kids aren't scared by Aliens, then the movie failed. Being scared by Aliens even though they know it isn't real doesn't mean that the movie inappropriate for them, it means that they are handling the movie as adults do.
Well you can still be scared by something while knowing its not real, eg there are parts of Alien that always make me jump even though I've seen it many times (I personally prefer original Alien it to the more shoot-em-up sequel).
Sticking with your original context of people owning guns for home defense, while I would never assert that they do so directly in response to horror movies or suchlike, I would argue that such movies often serve an ideological function of embodying our social fears so as to domesticate them, and that this can heighten the perception of risk.
Drop me a line about this if you'd like to continue the conversation. I'm very interested in psychoananalytic approaches to film theory and would be happy to discuss it further.