Yes, SP can be scary. In fact terrifying.

While in REM a small part of your brain displays abnormal activity. This particular part of the brain admits fear.
So its widely common for the person to be scared in SP.
However, once you have gone through it enough times you eventually get used to it.

Sometimes the very first SP can be scary, especially if you don't know anything about it. But you have a good start because you already know what it is.