I'm probably the female equivalent of your dickhead ex, OP. Although hopefully not quite such a muppet!
My dc (aged 12-16) have watched any number of scary movies (I'm talking unconvincing special fx 80s films though, which still have 15/18 certs but would probably rate as 12s now - Nightmare OES & so on.)
Xh thinks this is awful. Kids roll their eyes at him - the older two love horror movies. The youngest isn't scared by them, but nor is she remotely interested in them; she prefers whodunnits & generally opts for an early night if whoever's turn it is to pick a movie goes for something spooky. And it absolutely IS bored by not secretly terrified by - she watched a documentary about the Black Death recently at school, was upset by it & made that very clear - she's equally clear that she thinks mechanical sharks & zombie makeup are just completely silly.
Incidentally we aren't in the U.K., & certificates are definitely ignored at the cinema here. Horror loving dd1 has seen 18s with her mates at the mall that have certainly raised my eyebrows, but that she's hugely enjoyed.
My one ironclad rule is no films with a higher age certificate for sleepovers. I know my kids are fine with a bit of nonsensical gore - I don't know how other people's children feel about it, nor what 'house rules' their parents have, so that's the rule here. Much as might let 16yo ds have a beer, but I wouldn't hand it out to his visiting mates.
I think it depends to an extent whether your ex is more generally an idiot - are the kids happy to be watching scary movies? Mine think it's hilarious that their dad has conniptions over Alien or whatever - if yours are coming back openly upset, or if you know perfectly well that they don't enjoy horror & wouldn't choose to watch it, then that's an entirely different scenario.