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rrat that you can completely ignore if you want:
They aren't nearly as scared as they act. They've been acting/exaggerating for a number of reasons. For instance, when they played Spooky and The Backrooms, they were nearly catatonic at times, which is strange because they've played infinitely scarier games with no problems at all
Basically, what they're doing is giving themselves a kayfabe character arc. They start off being so fucking scared they can barely do anything but then over time, with the help of the Ruffians, their senpai, and sheer idol determination, they end up horror masters having completed classics such as Amnesia and movies like the Ring.