From Morgoth's Ring, Volume 10 of History of Middle-Earth (emphasis mine):
To gain domination over Arda, Morgoth had let most of his being pass into the physical constituents of the Earth — hence all things that were born on Earth, and lived on and by it, beasts or plants or incarnate spirits, were liable to be "stained". Morgoth at the time of the War of the Jewels had become permanently "incarnate"; for this reason he was afraid, and waged the war almost entirely by means of devices, or of subordinates and dominated creatures.
It's not directly related to the passage you mention with Fingolfin, but it does give a reason for Morgoth's fear in general. I think that's the best answer you're going to get in Tolkien's own words.
For completeness, I'll note that the passage you're talking about with Fingolfin and Morgoth is slightly ambiguous. Here it is from the Silmarillion (emphasis mine):
Thus he came alone to Angband's gates, and he sounded his horn, and smote once more upon the brazen doors, and challenged Morgoth to come forth to single combat. And Morgoth came.
That was the last time in those wars that he passed the doors of his stronghold, and it is said that he took not the challenge willingly; for though his might was greatest of all things in this world, alone of the Valar he knew fear. But he could not now deny the challenge before the face of his captains; for the rocks rang with the shrill music of Fingolfin's horn, and his voice came keen and clear down into the depths of Angband; and Fingolfin named Morgoth craven, and lord of slaves.
Doesn't technically say he was afraid of Fingolfin, only that he "knew fear" in general. And the "it is said" is slightly mealy-mouthed: said by whom? (Although that does often tend to be Tolkien's way of writing - he keeps up the conceit that he's only reporting events rather than making it all up.)