"Why is the movie scary?"
Since there is no 'that' i thought this sentence would be fine without その. Am i wrong?
Japanese really doesn't have a word for "the", so I guess that was the closest equivalent they found.
Wait, why is なぜ after the は here? Shouldn't it be at the beginning, like とうして?
My understanding is that the ん adds the implication that the asker of the question would like an explanation. They are not merely looking for a "yes" or "no" response.
I believe it's along the lines of "...is it the case that...". It's not technically necessary for the sentence to make sense, but it changes the question just slightly to make it more inviting for the other person to reply.
not having その does not make this sentence necessarily refer to all movies. If you and the listener are already talking about a movie it would sound weird to say その unless you wanted to specify which movie you are refering to out of multiple options.