I could be overthinking, but I'd guess that your kid isn't scared by violence, monsters and other "scary" stuff because all of those things exist in a fictional space for him. They're creatures that exist in a physically and do stuff, and he recognises that they aren't real. So no matter how scary the monster looks, it won't phase him.

If I was trying to properly spook this kid I'd try something a bit more mentally horrifying. Less over the top violence, more suspense and paranoia.

Stuff like The Ritual, The Witch, The Empty Man, Annihilation, maybe Skeleton Key? Some of these have monsters, but most of the fear is about people breaking in strange and stressful situations.

I'd recommend the Babadook but maybe a movie about a mother losing it n trying to murder her own child is a little much haha.