In the DS9 episode "Let He Who Is Without Sin..." Worf finished a sentence Dax started about him being afraid of losing control, saying "someone I care about might get hurt", a pretty clear acknowledgement that he was indeed afraid of this. From the transcript:
WORF: When I was thirteen, I was captain of my school soccer team. We had made the championships, and I was determined to win. Near the end of the second half, with the score tied, my team got a corner kick. The ball sailed up high. Both I and one of my opponents, a human boy named Mikel, leaped up to head the ball. He had position, but I was determined to score. I remember laughing with excitement as I threw myself at him.
DAX: Go on.
WORF: The next thing I knew, the ball was sailing into their goal. I roared with triumph and turned around to Mikel to gloat, only to find him lying on the grass bleeding. Our heads had collided when we both went up for the ball. I had not feel the impact, but I had broken his neck, and he died the next day.
DAX: It was an accident.
WORF: Which only makes it worse. Compared to Klingons, humans are fragile creatures. I realised at that moment to live among them I must practice restraint.
DAX: That must have been difficult for you.
WORF: At first. In time it became part of who I was, who I am.
DAX: And you're still afraid that if you lose control
WORF: Someone I care about might get hurt.
I would say that the episode "Coming of Age", which features Worf saying "only fools have no fear" as you mentioned, has some subsequent dialogue where he clearly admits that the fear his own psych test played on had to do with depending on others to the extent of putting his life in their hands--from the transcript:
WORF: The psych test is no more or less important than the rest of the process.
WESLEY: That's what they said, but I can't stop thinking about it.
WORF: Thinking about what you can't control only wastes your energy and creates its own enemy.
WESLEY: How can they know what my deepest fear is when I don't?
WORF: By analysing your psychological profile. They were very accurate about everyone I tested with. Including myself.
WESLEY: You? I thought there was nothing that could frighten a Klingon warrior.
WORF: Only fools have no fear.
WESLEY: I'm sorry, Lieutenant. I'm asking too many personal questions.
WORF: It is very difficult for me to depend on anyone for anything. But especially for my life.
WESLEY: But on the Enterprise you do that every day. Everyone depends on everyone else to protect them.
WESLEY: So you overcame it?
WORF: No. It is still my enemy.