The part OP is scared of and points to is some border guard revoking your visa, which probably implies you losing your job and having to leave the country you live in. This is scary because it is a very big, bad outcome to be totally in the authority of a random border guard to decide. Waking out by guards and dogs barking on a train is scary in its own right the moment it happens, but we are talking about totally different things whose only intersection is "border guards" and the emotional category of "scared".