He's only 5, and just because he wants to listen to it, and gets "something" out of it, that does not mean it's good for him. Would you let him eat nothing but ice cream? He can digest it, and likes it, but too much would ruin his palate!
We have a responsibility to place boundaries around our children, inside which they can grow in safety and - yes - peace. He sounds as though he needs a bit more calm, if he is already drawing nasty things and being attracted to violent children's programmes
.
I'm not saying there is no value in what he is doing, and, indeed, it is probably a good thing for him to have an outlet for his aggression. However, increasing his exposure to aggression, rather than the opposite, is probably what I would do (and my DS (3) has a bit of an aggressive streak, so I take this matter seriously, try to encourage gentle play, non-violent exercise, etc.).
Sorry if this sounds judgemental. I don't mean it to be. However, you yourself are probably also thinking along these lines, given that you asked...?