If the movies are clearly inappropriate then you should communicate your dissatisfaction. If the movies are more benign, this could be the way your husband wants to spend time with you. Also, keep in mind that you have the power to sway your husband in what he watches with you and how often. For example, I’ll only watch A and not B, or only once a month.
Generally speaking, I would be more worried if he had access to unfiltered internet. It could be that watching movies from the library is his “kosher” alternative to other types movies which are available on the internet.