When Kevin realizes he's alone, he immediately does what any kid would do: fixes a giant bowl of ice cream and watches a violent movie, Angels with Filthy Souls. Angels appears to be a black-and-white classic, which indicates an unusual cineaste's taste in such a young child.
But Kevin can't take it: after one gangster, Johnny, cold-bloodedly guns down another (a guy with the awesome name Snakes), Kevin involuntarily calls out for his mom. It shows that he doesn't really wish his family were gone.
Yet, Kevin soon weaponizes Angels with Filthy Souls. He uses it to scare away the pizza boy (after receiving his pizza, naturally) and then tries to scare Harry and Marv away with it—this works on Marv, but Harry quickly realizes that Kevin's scamming them. In a way, Kevin's taken something that scared him or was too mature, and then used that same fear against other people. By doing this, Kevin conquers his own fears—making other people afraid in the process.
It's a good lesson for kids who want to be devious leaders: banish your own fears and others will fear you.