I panic badly at being on spotlight in RL with people I don't know and even doing some seemingly simple things like phonecalls to strangers (just. can. not. do. them.), I am absolutely rubbish in making new friends quickly but MMOs have generally been a relaxing experience for me. Until FFXIV and duty finder that is and all this time I thought I was the only one panicking at duty finder. Everything else about XIV is awesome but duty finder... urgh. I have found familiarity and knowledge (including learning what I could of the instances BEFORE going) to be the biggest help for my duty finder anxiety. I started FFXIV on ARR release as WHM and really didn't enjoy it at all first as any duty finder stuff was just hugely stressful and left me shaking and heart thumping so I couldn't sleep till like 3am by when I finally physically calmed down and just having the whole "if you fuck up now everyone dies and it's all YOUR FAULT" ringing in my ears euugh. Being strangers over the internet also seems to give some people the false license to act like absolute inhumane cunts which doesn't help. Also as a n00b I didn't recognise situations where there really was nothing I could had done as a healer to save it so kept blaming myself for no reason. The 4-man instance limit and rigid class roles after years of playing FFXI where roles are much more flexible and other jobs can take over/have your back when shit hits the fan was a steep learning curve. No more bards or red mages to toss occasional backup cures, no more monks or samurais to be able to take a few hits for a bit when the tank DCs. It's all on your shoulders if your job should be the tank or healer and oh my god you better pay attention!
Then I went and picked up DRG and BLM instead and found it a lot easier to just be a sheep dps, follow peeps around until I learn the ropes in a dungeon, stab the stuff others were stabbing and after new year I even dared to go level WAR and take charge in easier content. I just outright asked for help if I need it, started dungeons off with "not entirely familiar with/don't remember all the details, please say if I'm going the wrong way" and slowly got my confidence up while getting WAR to 50. It wasn't always easy but damn when I got to the point where I knew a dungeon well and could just stroll through it like a park on sunday it felt goooood. I suppose it was my way of coping with having to be bundled with three random strangers to do it in the first place, if I can't know the three people I need to at least know every mob pop and nook and cranny of the place I am in. Inability to chat freely while doing events in XIV also sucks, you just have to bash abilities or dodge the "floor is lava!" so quickly you can't usually get a word in sideways. You enter an instance with strangers and you leave as strangers with bare good evenings and bye byes between you.
Having a mature LS/FC helps immensely too, I am 100% fine doing any content no matter how new to me or difficult with any of them because I trust if something goes wrong they discuss strategies and we can talk about the event afterwards instead of shouting abuse and quitting in a hissy fit and everyone vanishing into the aether like so often happens on DF. And just being able to trust in their sensibility makes everything instantly relaxing. All of this worked for me at least but then as mentioned my anxieties are more relating to dealing with people unknown to me that DF just made worse with the game's added pressures.