I was playing a game of WFRP a couple of weeks ago, and we were investigating a chaos cult in a noble's house. It turned out that the noble's daughters had come across a Chaos tome, and were performing rituals that they thought were innocent in order to achieve totally benign objectives. However, we found a Witchhunter to come and help us with the investigation, and the Witchhunter ended up executing these three young girls essentially in front of our characters.
I found this incredibly disturbing. When I roleplay I like to visualise what my character can see, and I was deeply affected by the whole encounter.
I'd like to ask the community - what sort of things are off-limits when you play a game? What is an effective way of commuicating these things to a GM? I did talk to the GM in question, but I sort of felt as though I was hamstringing his GMing by complaining. How can you ensure that everyone has a good time whilst also making sure nobody is upset by something that 'crosses the line'?

for writing the longest post. An award he is more qualified for than me.
It's a game after all!