Not surprised. I think it's all horrible too! Some people (adults as well as children) are just more sensitive to this kind of thing. In a way it's a good thing- means she's sensitive and empathetic. I used to be deeply affected by any hint of horror- it's just a personality thing!
My DS (2.8) hates all things halloween. We went to our local soft play place and it was decked out with skeletons, masks, spiders etc and he just totally shut down (his way of coping with stressful situations, he just closes his eyes and goes floppy). He refused to join in any of the halloween songs and dances at his music class too.
We have a pumpkin which we are going to carve into a smiley face tomorrow...baby steps!