My daughter found The Boy in Striped Pajamas upsetting even at-- ten.
On the one hand, that's rather the point of the story; on the other, I can't imagine having let her see the film adaptation at age six, and she's pretty extraordinary in terms of handling emotional content (even that which bothers adults).
We saved the Holocaust-themed items for 9-11yo. We also focused on a balanced presentation, honestly-- for every Anne Frank, we gave her an Oskar Schindler. The Sound of Music is a fairly gentle introduction to the era (though it is not devoid of emotional intensity, by any means).
