I do have this same problem. I cannot watch anything suspenseful, violent, or disturbing at all. I get terrible anxiety. My husband doesn't get it. Actually, I always say to him "I can't understand how anyone can get enjoyment out of watching someone get hurt." He watched Saw. I mean really, why?? He said it is because he knows it's not real, he can dissociate his emotions.
A while back I went to a therapist for my anxiety. I really did not want the stigma of going to one, and I tried about 5 for brief periods of time in my life until I find the one I found. He was good. He himself recovered from panic and anxiety.
I told him about this movie issue, and how a scary movie, or an upsetting movie can make me so anxious that my skin crawls and I physically feel it (twisted gut etc.) He said he cannot watch them either, and that it is a common trait in people prone to anxiety.
I can't watch those commercials that show abused animals, I quickly tell my husband "turn the channel, turn it, turn it now." He would toy with me at first, but realized they really worked me up. I think it's just being senstive, or overly empathetic toward people or animals being hurt. Even in movies when it is not real, some people, like us, just cannot remove ourselves from simply knowing its not really happening. The mere idea of that being enjoyable to others is lost on me.