When I first started googling around about the whole slender man thing, it reminded me of books I read in grade school. Scary Stories to Tell in the Dark.
Scary Stories to Tell in the Dark - Wikipedia, the free encyclopedia
These books were first published in 1981 and are for a suggested reading level of ages 9 - 12.
They scared the crap out of me when I was a kid, but they were oh so much fun. Here are some of the illustrated images from the books, I understand that when there was reprint in later years that they were changed a bit.
https://www.google.com/search?q=scary+stories+to+tell+in+the+dark&espv=2&source=lnms&tbm=isch&sa=X&ei=SRuRU8OaNMmqyAS_54KYAw&sqi=2&ved=0CAYQ_AUoAQ&biw=1600&bih=799
I do realize that these books were on the list of "most frequently challenged books 90-99" but so was Harry Potter.
I guess the point I'm trying to make is that is in no way unusual or odd for kids this age and younger to be reading "horror" stories. It's not uncommon for them to want to scare themselves with scary images and stories and then tell their friends about it.
I didn't find these books at the library or borrow them from some neglected and unattended friend. My mother purchased them for me through my Christian school's Scholastic Book Club program.
Just because relatively young children read scary stories doesn't mean that they don't understand that the things that happen are wrong and bad. Hence the reason that they are scary stories.