Mr.caramel,
Sorry that your initial LD was a bad one.
Although it was not my first lucid dream I had a few experiences that my LDs turned bad.
Two things I can personally point out.
A lot of these lucid dreaming scenes are now very amazing in nature to us, more over if we become conscious during them. So it happens that we become afraid at times during such a surreal event. This likely manifest itself and becomes worse. Similar to the human psyche when your not dreaming. You conscious mind is your conscious mind and will act accordingly.
To reassure yourself that this is ONLY a dream and you cannot be harmed is a good way to calm yourself and restore some order and confidence in your mind.

On a positive note you seemed to have administered a lot of control of your lucidity for your first one!