Thanks to everyone for your messages of support, and for your advice. I told my dd that I had posted on mumsnet, and that everyone agreed that these films were not suitable, and that they could understand why she felt scared - and that even grown-ups are scared by these movies! I passed on the hugs - thanks NotActuallyaMum! I think this made her feel more confident that she was not being a 'baby' (of course, she expects me to say that to her and so doesn't really believe it until it comes from someone else).
I spoke to the birthday girl's dad, and he seemed genuinely shocked that they had watched these movies (he apparently didn't know until I told him). He explained that he and his wife had separated (she has left), so actually only he was there overnight. He said the girls got into their pyjamas around 10pm, and he said goodnight to them and went upstairs to bed, with instructions that anyone could get him if needed. He didn't come down again until morning - I think he was very conscious of not wanting to keep 'popping in' during the night, and felt sure that his dd or dd2(her elder sister)would alert him if required.
Before speaking to the girl's dad, I spoke to the mum of one of the other guests. Again, she had no idea until I told her of the films the girls had watched, but she immediately realised it must be true - her own daughter had woken, crying, in the night, and she had not been able to understand why. She had put it down to tiredness, but thought it was unusual.
After talking to my dd again, she told me that she thought the girl who brought the dvds to the party had actually 'borrowed' them from her grandmother's collection, without her knowing. I'm coming to the conclusion that the girls had cooked this up between them (although some of them were obviously more into the idea than others) and decided not to let their parents know. It appears that only my dd has let the secret slip - I'm actually very proud of her for that.
Although I still feel that the sleepover was inadequately supervised, I do feel for the girl's dad, who seemed very embarassed and had obvously being trying to give his dd a nice birthday, in spite of the difficult family circumstances - and not quite knowing what to do for the best with 8 girls in the house.
My dd slept OK last night - we had the kind of bedtime ritual that she has not had for a long time because she has felt too grown-up (hot chocolate, me brushing her hair, a bed time story, and then she snuggled down with her teddy) and that seemed to help.
I have simmered down now, but do still intend to speak to the parents of the girl who brought the dvds to the party - I think they need to be aware of their own dd's movie watching (and pinching) activities.