It is objectively Good for children to have the chance to practise grief, fear, loss and sadness in safe, low-stakes environments where they don't actually lose anything and aren't in any danger
because otherwise the first time they learn to process those feelings will be when it IS real and it DOES matter.
some good books to start em young are things like Goodbye Mog or The Sad Book or children's horror stories like Goosebumps. and yeah like. Watership Down, Black Beauty, Animals of Farthing Wood, Bambi - stuff that deals with grief and loss in a vivid but age-appropriate way.
as for scary things. this one is weird because quite frankly small children have wild imaginations and will develop fears of some very random things whether or not they're exposed to scary media. like I was scared by watching Jurassic Park as a kid. reasonable. normal. how did this fear manifest? I got scared of the showerhead because it reminded me of the spitting dinosaur. Make that make sense. If you only ever show kids like, Care Bears, they will protect almost as intense a fear onto that as they would onto Dark Crystal or the Black Cauldron - the story is just a cipher for them to process their bigger feelings.
also, and on the other hand. if you're 30+ years old and still scared of Muppets and animated animals you may have an actual problem. I'm not saying that in a perjorative sense but like. are you good?