I am so sorry you are going through a difficult waking and dreaming life.

My opinion is, you should go into this lucid dreaming thing with the attitude that it's going to help your anxiety and stuff.
Y'see, lucid dreaming is a practice of exploring one's own consciousness. And even gaining control over it.
Lucid dreaming can be used to face your fears. Face them head on. Look 'em right in the eye.

Lucid dreaming can even be used to transfigure your fears into something positive. What happens when you face your fear and you come out unharmed? Your subconscious registers the fact that you had nothing to fear in the first place. Takes you one step closer to overcoming the fear itself. With lucid dreaming you have the opportunity to do this in a completely safe environment.

You could even try talking to your subconscious in lucid dreams. Ask dream characters for information about your subconscious. Or even ask your dream characters to change things or improve things in your subconscious. I have not personally experimented with this before so I can't say too much about it. But I do recognize the potential for communicating with your subconscious in lucid dreams.
Thank you.

I think the hardest part for me is to convince myself that the scary entity (in case of monsters and stuff like that) actually is able to communicate and work with me, logically speaking. Because they look the opposite to approachable, and it's very hard for me to convince myself of that when I look at them. I end up, impulsively, expecting them to lash out at me while trying to fight that expectation at the same time (because I know if I think it it'll happen).

Before when I've tried to distract myself from getting into a nightmare while being lucid, I couldn't get rid of it completely many times, so instead of it becoming a full blown nightmare I could see something strange in a corner lurking, for example.
(An anecdote: I did confront a monster in a dream when I was a kid, very confidently because I realized he wasn't real, but instead of ''giving up'' the monster took a new approach to scare me and I fell for it.)

To actually go through it a few times and realize it's not harmful like you suggest is probably a good way to look at it. I will remind myself of this.

It's also difficult for me to see how these fears could turn into something positive most times (?). Hearing about yours or other people's experiences with that would probably be enlightening, if anyone wants to share.