I actually randomly watched this clip like a week and a half ago searching for something else and couldn't remember how to get back to it, but in this video Phil pretty much lays out why he tries so hard to not be scared by games.
The really relevant part as to why is @ 10m25s, but I started the Timestamp @ 7m02s because you get a long rant from Phil about how the game 'Slender' isn't scary at all. . .and he also explains how before he actually played it he watched many videos of people playing the game and knew everything about the game: where everything spawns, what the objective is, where all the locations are, that something is stalking you, what is stalking you, how to deal with what is stalking you, literally everything. . .just like he does with every game that has a potential to be 'scary'.
Also before the timestamp he says something about how Resident Evil style games are what he finds really scary
The answer is: Phil thinks being scared is feminine/effeminate/being a 'little girl'. Phil is very afraid of people figuring out that he is gay. He's most afraid that he himself will figure out he's gay