Yeah obviously. That's why I qualified it with "if you are making art against the nazis". You obviously could be making a B movie slasher film or something much less thoughful that uses gore just for shock value or even can have it be slapstic comedy like when Charlie Chaplin did it.
You could also just be making like, I dunno, a cool vampire anime in the vein of hellsing so in that case the nazis are less a grim warning to the ills of war and more a monster that needs to be put down by your bro Alucard-totally-not-Dracula, and in that setting you want the (actual ww2 era )nazi vampires that awoke in the present to be more heavily into the mad scientist vibe as opposed to the racist psycho vibe because it gels more with the mysticism inherent in vampire stories. Though to be fair them bombing london was pretty damn grim and thought-provoking. Add to that the moral questions of humans exterminating vampires because they're not human, and Alucard occasionally musing to himself that it seems to be ok to hunt vampires because they're monsters but as soon as someone treats other humans the same way they are seen as evil. So yeah, you can see it stepping its toe in, but then it goes into crazy over the top hype fun action and doesn't dwell too heavily into it. So that story is just more about morality itself than about nazis in particular.
Finally, I think horror is also effective when you have empathy for the perpetrator, because you see how their horrible acts ruin them too. So generally speaking you wanna have everyone be someone with whom you empathized at at least a brief point of the story you're telling. It can only enrich the impact of whatever follows.
