I think there's apt to be issues when it is just tacked onto an otherwise traditional approach to running the game, and when it is new. When everything in a player's experience is that the GM does not want their input, or will use their input against them, or that they might just do it wrong... yes, it can be a source of anxiety.
On the other hand, it is a skill. You cannot develop the skill if you don't practice it.
Rather than tack it onto a game in which it isn't native, for some it can help to swap into a game in which player narration and creation is intrinsic - like Deathmatch Island, or Fate.