If you want to compare grades of horror -- this movie didn't scare you much at all, that movie scared you a lot more -- you would say one was more horrifying than the other. And one particular movie might be the most horrifying movie you have ever seen.
In (Standard American) English you make the comparison this way because you're describing something the movie did to you (it induced the emotion of horror) and you're comparing how effectively it did that. The movie did something, so that requires a verb, specifically the -ify verb form of the induced state. Then you convert the verb back into an adjective with -ing to make it an intrinsic quality of the movie, and now it can be compared to the same quality in other movies.
More horror is also cromulent but means something different and has to be used in a different construction. If I say movie A has or contains more horror than movie B, that means more of the time of movie A is spent on storytelling elements that are typical of the horror genre; this might or might not correlate with movie A being more horrifying (perhaps A has so much horror in it that it goes over the top and becomes ridiculous).