Hmmm. Let my try this from a subconscious standpoint. Basically there was this popular idea that the brain has three parts: 1) the personal subconscious 2) collective subconscious 3)the conscious. The collective subconscious is like a library of the emotions and reactions processed by our ancestors that we inherited. Kind of like the Assassin's Creed games if you have played them. Our Ancestor's world was screwed up. Think about all of the death that happened in generations past. Basically our collective subconscious is like our lifeline trying to guide us according to our ancestor's experiences in order to affect us emotionally to help keep us alive. That collective subconscious sends us a lot of messed up scary things to keep us on our guard. The personal subconscious is like a boarder between our logical conscious mind and our emotional collective subconscious. It doesn't wan't to let us get overwhelmed by these scary ques that our collective sends us so we won't be paranoid like you are experiencing. Our conscious mind is logical and if it experiences something that it can't understand like inexplicable strong emotional impulses of fear it begins to become paranoid and even schizophrenic in severe cases. Dreams are like raw emotions because our personal subconscious is taking a break and it lets the collective subconscious leak through. This could be the link between your lucid, conscious dreams, and the fear that you feel in them. Take all of this psychological stuff with a grain of salt but I think, even if incorrect, it could help you visualize from a logical standpoint why you are so afraid in these dreams. Perhaps once you gain a strong logical standpoint of your emotions this fear could subside. Still just and idea though. In no way is this real proven hard science. Just more of a visualization tool than anything.