Being afraid of soldiers or water is one thing. If Ellen and her mother knew that they'd be safe in the end, it would be much easier to overcome these fears. But they are facing these fears with an unknown outcome. And the unknown can be incredibly scary.
| Quote #8
She thought of Papa, back in Copenhagen alone. He would be awake, too. He would be wishing that he could have come, but knowing, too, that he must come and go as always […] Now he would be afraid for them, and watching the clock, waiting for word that the Rosens were safe, that Mama and the girls were here at the farm. (12.14)
Annemarie and her father are in the same boat here. Even though Annemarie is closer to the action and has a better idea of what's going on, both of them are still "waiting for word" about the safety of their loved ones.
| Quote #9
Annemarie always tried to prolong this part, to build up the suspense and tantalize her sister. "She didn't know what it was. She stopped on the path and listened. Something was following her, in the bushes. Little Red Riding-Hood was very, very, very frightened." (14.32)
Annemarie is doing a better job of scaring herself here than she ever did of terrorizing her sister with a bedtime story. Annemarie pretends that it's Little Red Riding-Hood who is so "very, very, very frightened," but deep down, she knows that she's the frightened traveler-through-the-woods that day.