What is the truth about the idea that some horror movies were targeted by strange occurrences during their production?

I can't say for sure, but my first guess would be that sounds like *really great publicity to get people more interested in seeing those movies.

I strange things happen during the production of a NON-horror film, then it gets a natural explaination.

just urban legends

All such stories are urban legends, from people with over-active imaginations or who are really superstitious or gullible, or spread by publicists.

If any movie was deserving of strange occurrences and cursed sets it was The Exorcist. Nobody reported anything.

The Poltergeist movie was supposedly "cursed" because of some tragedies which occurred to various people involved, particularly Heather O'Rourke who died - 6 years after production.

If you look at any situation in life, it can sometimes seem that a group is cursed, a family is cursed, but there are no such things as curses. Some just have a run of bad luck or coincidences in tragedy.

These so-called cursed movies really fall under the heading of Urban Legends.