> Is there any reliable body of evidence about what happens to children if they watch content that their parents find unnerving?

Yes. See the number of perforated ear drums after the "You've been tango'd" adverts.

https://en.wikipedia.org/wiki/Orange_Man_(advertisement)#Bro...

(the lead says the ad was banned; his section says it was voluntarily pulled. Either way it could have been banned: any system of media rating (eg advertising standards or BBFC) include imitatable violence.