Are they scared of anything in nature--bugs, snakes, lightning, being on the water, etc?
Dalamus is afraid of wide, open spaces. After living literally underground for two centuries in a cavern, being in a place where there are no walls or ceilings makes him extremely uncomfortable. He knows it is illogical, but he feels like he will float up into the sky. He feels exposed and vulnerable, even panicked or dizzy at times, requiring something to lean against or hold onto in order to ground himself. It is part of why he prefers to keep his piwafwi hood drawn when it is on--it blocks a bit of the sky unless he deliberately looks up.
In a similar vein, Dalamus is afraid of the ocean. The creatures possibly hiding in it are one thing, but the main source of his unease is the vastness of it, and especially the way it blends into the sky at the horizon line to make it seem even more wide and open. The first time he sees it, he actually feels nauseous. He would not do well on a boat or ship; he would get seasick, and the fact that he is just floating rather than standing on the ground is disconcerting.
Thunder and lightning make him nervous for the first few years on the Surface, and he does not like to be outside during a storm if it can be avoided.
Birds creep him out. He is unsure why. Possibly the twitchy movements, the sounds they make (similar to a draghazar), or the fact that they are just everywhere flying above all the time.
Magic can arguably count as part of nature. He is afraid of magic, but specifically the sorts that alter the mind and/or body. Things like creating water, electricity, fire, force, etc, are all fine and straightforward enough. Things like Enchantment magic which charms others, Necrotic magic which weakens, and Healing magic which alters the body, are all frightening concepts to him. He has been subjected to all three at different points and does not like the way any of them feel. Not to mention, he already has a difficult time trusting people, and altering his mind/body is something that requires a LOT of trust. "Trust me, I'm a healer" does NOT fly with him.