I am an insect enthusiast so this question bugged me (pun intended) for a while. I had some stick insects (Sipyloidea sipylus) as pets, and when I had to forcefully move them somewhere, I just picked them up, since they didn’t really like climbing on my arm. When I did that, they looked very annoyed. However, I assume they weren’t scared, since they didn’t flash their wings or release an unpleasant scent (they do that when scared).
But, whenever I encounter any kind of beetle, they seem very scared if I try to pick them up. Hence the question in the title.
I think your pets probably weren’t scared because it had happened before, regularly, from a young age. They were used to you handling them without eating them, so they were merely annoyed.
I think most wild insects are scared, and that’s why those who have defensive measures use them. They wouldn’t want to use up something like irritating juice on a mere annoyance, and risk being eaten by a bird before they have time to make more, so it shows they are reacting as if it’s a life or death situation.
Many people will argue that any reaction is “just instinct” and not a sign of “true fear” but I personally don’t think higher reasoning is ever a necessary component in fear. Even in us humans, true life-or-death fear is, at it’s very core, an instinctual survival mechanism that has little to do with conscious thought.