((Are they afraid of death? Do they have any regrets?))
I’d say that no, she doesn’t fear death. There are certain things that she would want to do before she died, and she’d be afraid of death only in that she didn’t accomplish those things. As for regrets, it’s the same story really as for death. She doesn’t currently regret anything in her life, except for maybe eventually losing track of her (nonbiological) dad’s incarnations.
Again, she doesn’t really fear death, since she is immortal and is of the opinion that there is nothing in her known world that could kill her, other than her mate, who won’t. She sometimes regrets starting the Lifeblood church, but it never lasts long.
It’s a little more complex with Claire, she lives with the constant knowledge that her condition could at any time worsen and leave her lifeless on the floor, and she used to fear it. Still does, but she tells herself that she’s come to terms with it. Sometimes she even wishes for death, but she’s been working through it with a therapist. As for regrets, there’s a laundry list of ‘em. She regrets meeting her previous boyfriend, she regrets choosing him over her family, she regrets going to yharnam with him, she regrets not using protection, she regrets telling him, she regrets thinking that her pregnancy might actually work out, she regrets regretting all of that, the list goes on.
Technically speaking, she can’t die, only be reincarnated, which is basically a “reset to factory settings” for angels, barring a few very vague memories from her past lives. Anything she’d regret has happened before her most recent reincarnation, so currently she’s somewhat carefree. (Other than maintaining the night, the moon, the dreams of literally everyone in the world, and catering to her patron animals, of course). what she would have regretted was somewhat similar to Human Claire’s, since it’s the reason she got reincarnated in the first place. Y’see, Angels have a law against having children with non-divine creatures. Even having a relationship with one is considered a huge taboo. Luna would have regretted getting pregnant, or at the very least, letting the Above know about it.
Hell yes she fears death, she fears it on a daily basis. She’s never certain if today is the last day she wakes up in the evening, what with the gods’ hatred of the darkness and what it could bring. She effectively has a bounty on her head and that’s a frightening thing for the equivalent of a sheltered 16 year old kid. As for regrets, she regrets being born the way she is, and she regrets ignoring her “Dad”’s warnings to stay out of the main halls of the archives. Other than that, nothing. Although those are some pretty big regrets to be completely honest.