Have you ever watched a horror movie with a small child in it and wondered about that kid's wellbeing? If a movie is traumatizing enough to send shivers down the backs of adults watching it on a screen, then it's reasonable to speculate it wasn't the most pleasant experience for a child with a developing brain.
Luckily, many experienced sets have boundaries and precautions when shooting scenes with kids, so a child actor is likely to feel like they're in a movie with different than what viewers take in. Still, not all sets are the same, and for children who see the end-product of their work, it can be a mixed bag.
I've been in two horror films (as an adult) with kids. All the kids had so much fun. They knew that nothing was real and they made friends with the actors and directors on set. One of them described it as playing pretend. They were super cool kids.