Shivji in fear & anxiety is not possible as he is Mahayogi. This show gives idea about his emotional side. Seeing him till now in various tracks, one thing is sure, he can get angry, sad, disappointed but wil never fear, as he is Trikal gyani, very well knows what may happen next.
During sati's phase, he was shown sad at times because he was aware of the seperation.
Showing him running for help will look perfect only if was not shown Trikal gyani.
Some stories of Puranas doesn't make sense considering the way a Deity is. There is a possibality, they may have been added later on. On good example is Sati testing Ram, who appeared in two different Yugas. This explains the Purana's stories should be judged with a balanced thinking, not always accept it word by word. Most of them may be very perfect but some can be out of character, since nobody knows what actually had happened during that time. So benifit of doubt can be given to many stories.