Writing about the horror of slavery -- a real-life institution -- is not akin to writing about supernatural phenomena in the way that novelists like Stephen King, Peter Straub, Dean Koontz, and others do it. Those writers are trying to entertain, to elicit a delicious, pleasurable frisson of fear. "Beloved," for all its supernatural elements, is exploring the impact of a terrible, but very real, experience on people who have survived it. It's horrific, but it doesn't belong to the horror genre.
Edit: Magical realism is a good category, since it can comprise supernatural events in the context of serious literature. This genre is most closely associated with Latin American novelists, but it's become more widespread.