Is it causing nightmares? Is your son waking unusually in the middle of the night screaming/crying? If it is not affecting him, then I'd probably let it roll. Remind your son about real and pretend and how it's not okay for him to shoot people like they did in the movie, etc.
The reason your ex wants to watch THOSE kind of movies with your son is b/c your ex doesn't want to watch nick Jr. My husband can't stand anything on kid tv except for Batman, GI Joe, or Transformers. Perhaps you could suggest a show like that to your ex. Say something like "Ya know Joey really likes Batman. Maybe you could watch that show with him? It's on at (time) on (channel)." Granted, then you may open him up to watch the old Batman movies.
Shame on Dad, Grandma, and Grandpa for allowing such violent and scary movies to be seen when your son is with them. My MIL even emailed me last week to tell me "I don't think the 3.5 yr old needs to see the new Transformers. Might be too scary." Perhaps talk to THEM if your ex is too irate?