Yes, but why Horror as opposed to a happier feeling, such as, er, Enlightenment? This is how I look at it: horror is not the cause of a changed worldview but a reaction to it. 1) something unexpected happens, thus challenging your worldview. 2) Your reaction is a feeling of horror.
Yet it seems like for #2, it's usually horror (which is unpleasant to experience) as opposed to a feeling of "I'm glad I am aware of that now."
The obvious answer to that is that people have some inherent desire for beliefs that they can trust, convictions, faiths... and so quite naturally they are devastated when these beliefs fall away. It's like shaking the foundations of a building. And this is because people always embrace belief at first; belief is instinctive and distrust is inherited.
The obvious answer does not satisfy me because I don't want it to be that way, even if it is that way. It comes down to this: we don't always see things right the first time, and even if we do, the world changes. And what makes humans different from other animals is that we don't always adapt. For animals, adaptation comes first. For us, it's conviction. Horror is natural for us and normal for us and an overreaction to the reality of things. So we were wrong. No big deal.
I think I digressed a bit, but what I was trying to say is that horror doesn't help us build our worldviews; instead, it makes it a more painful experience and it makes people paranoid or blind. It wraps the search for Truth in barbed wire. It doesn't help us embrace reality. I much prefer the Discordian way of doing it: 1) something changes your worldview. 2) you tilt your head, understand, and laugh.