Thematic elements and thematic material are the terms used by the Motion Picture Association of America to refer to all those various worrisome things in movies that don't fit into the other existing categories usually use to warn parents about sex, drugs, and, violence. This includes all the problems that adults have that kids aren't supposed to worry about, but also anything unhappy enough that kids might need adult guidance to process -- homelessness, mental illness, and disease.
Adult themes, including 'thematic elements' are generally noted after a PG-13 rating. While they are attached to all sorts of movies, Wikipedia notes that they are used for "primarily documentary films"; I am dubious.
The term 'thematic elements' is also used in literary theory and film studies to refer to those story elements that advance the theme of the narrative. In this case, it appears that the term is so broad that it is not often used.