I agree it's counterintuitive, but it makes sense when I think about how, for example, it's the least neurotic people who do high-risk activities like base jumping or mountain climbing. Fear drives you away from threatening things, lack of fear allows you to move toward them more comfortably.
I dont know what you mean by "neurotic", but my impression was that quite a lot of these have mental health issues. In some cases, the risk taking seemed more like hope for suicide in denial. And they tend to be difficult people with broken relationship.
In general yes, I do climbing and I can say I only do it when I feel no fear, no adrenalin rush. When I feel fear I stop, otherwise danger of accident.
But I know a base jumper .. and he only does the jumps if he feels the fear and his kick is to overcome it and feel the adrenalin rush.