This was so touching! Your son is adorable.
I think he is very sensitive (like many gifted kids) and has profound empathy that allows him to "get into" the movies he watches. It's somewhat like a musician who "becomes one" with the piece she is playing (this happens to me all the time.) In fact, it's a great feeling and one of my motivations for learning new music.
I think the subtext of his "confession" was: is this okay? Is it okay to feel this deeply, to get into movies this much? If it were my child, I would cautiously say "Yes." Gifted kids can be incredibly versatile, and can live ten lives at once. Just as long as he isn't having nightmares, I would let him watch the scarey movies, too. He sounds like he has a hunger for experience, and that's great in my book.
My DD8 has a pretend wolf tail, and will sit around the playground howling and chasing other kids for hours on end. She is also happily expecting an invitation to Hogwarts School of Witchcraft and Wizardry at age 11. Your son's imagination sounds beautiful, and as long as he can talk to you about any disturbing things he sees in movies, I think it's fine. We are a bit afraid of imagination in this culture; don't worry.
