My younger daughter was like this. She was quite frightened watching "Elmo in Grouchland" in the movies at age 4- probably because she had a "security blanket" at the time and the movie hit too close to home. Had she watched it at home, with her blanket in her arms during the movie, she would have probably handled it better.
My response to this reaction was to stop taking her to movies until she was ready. She did OK with videos at home- they were not as loud or overwhelming, and she could leave the room during scary parts.
The second movie I took Hannah to see in the theater was Harry Potter and the Prisoner of Azkaban. I think she was 11 at the time, and it's a PG-13 movie. I was afraid of how she might react to it, but she assured me that she WANTED to see it, didn't want me to take Leah without her, and it wouldn't be as scary because she'd already read the book multiple times. She did fine. She's seen plenty of movies since then. (There also might have been movies my Mom took her to see between Elmo and Harry Potter, but certainly nothing before she was at least 5, maybe 6.)
She's still highly sensitive, but fully functional in society. At age 17.5, I would gladly "let her" see R rated movies, but she generally has no desire to see them. She did see "Schindler's List" in 10th grade social studies class (I had to sign a consent form) and she wasn't unduly disturbed by it (it's the kind of movie that's supposed to be moving, and not "enjoyable" in the normal sense of the word.) She didn't get nightmares or otherwise have a bad reaction to it. But neither would she choose to watch something like "Silence of the Lambs" or a horror movie. She does enjoy watching movies in the theater, and is hoping to see Frozen in the theaters over school break. I would never have considered taking her to see a movie like that in the theater before age 6 or so.
For your 4.5yo, I suggest that you simply not take her to the movies for a few years. Watching movies in the theater is much more intense than watching videos at home- and any movie you may want to share with her WILL come out on DVD a few months after it's in the theaters.
What really surprised me was how "un-sensitive" my son was. He had trouble sitting still for a whole movie at age 3 or 4, but was never frightened by them. I had to re-learn what was appropriate for a young child to view- what Hannah couldn't handle at 6 was fine for Jack at 4. What Hannah could enjoy at 9, Jack could enjoy at 6. They're different people with different temperaments.