Well, a nightmare where you "know" it is reality and you are in control even if its frightening, and a nightmare where you know it is a dream, that it is your mind, and yet you are incapable of control it or avoid the situation, I would think the second option is worse. And I actually like to induce nightmares, as they are incredibly fun, once awake though <.<

Anyway, your idea of people dreaming of controling dreams because of trying to do so happens, but isn't always the case, for example, I was conciously trying to control dreams for around 8 years, but even so I never dreamed of me controling them until I found a reliable way to become lucid. It is just that you get LD in a natural way, and as such, your perception is different from us who had to work for them.