I don't get to watch often, but the 25-30% of games I have seen, I don't see anything that tells me Exum is scared--body language. Everybody agrees that he makes plays from time to time that show great amounts of confidence.
He looks scared a lot going to the rim. A couple of times he has gone to the rim and it would have resulted in a contact layup if he went all the way to the backboard, but he just flicks up a forced floater to avoid contact.