Fear is never sexy. It can be cute, but not sexy.
That doesn't mean you aren't allowed to have it.
But there -is- a reason most guys try to hide it.
(And also, it wasn't just scared-but-hiding-it in a dangerous situation. It was hiding-behind-his-kidnapp-victim while watching a scary movie.
It may have been less weird if he had not literally kidnapped you. It's not a trait you associate with a guy who has the guts to do that.)