I think its less about making scenarios about their fears and more about their motivations. If you know what they want and what they fear, you know what drives them to do the things they do and you can come up with responses or scripts that tie back to either a means of getting something or avoiding/preventing something they fear. Fear doesn't have to be something tangible either, but something like loneliness.

Its about creating deep, relatable (or, at least: understandable) characters, that make the world feel more alive and not just a dull response dispenser.