I can almost always wake myself up from a lucid dream. Normally even casually thinking about waking up, or worrying about it will be enough to sweep me right out of the dream.

I do wake into false awakenings all the time. Especially when I wake myself prematurely from a lucid dream. I expect to wake up, so I will just shift into a new dream about waking up, if that makes sense.

The only scary experiences that come from this, are the standard Sleep Paralysis type hallucinations. I love these hallucinations almost as much as I love dreams, so they are not a deterrent for me.