I don't watch a movie expecting it not to jolt me, by all means I want it to and allow it to do what it may. However, a movie has never kept me up at night or made me terrified when I walk in the forest at night. This is all I want.
I don't feel that there would be a connection between the ethically transcendent film and fear, but your last phrase would be a wonderful feat in the history of the medium. Same with music.
Could "life" be interpreted as "soul"? In other words, are there movies so depraved that we fear we have committed an ethical error by merely watching them? That would be, for me, an actualized fear that would extend beyond a mere immersion into the narrative.