I have this too. My sim is currently on vacation in Granite Falls and is still frequently getting the "Never Scared" moodlet. One of the times it was after someone tried to scare him as a prank, which was unusual. I think I did turn off the lot challenge from his house, but he's not in his house.
I do have mods installed, but the problem persists without mods.
@TenebrousGloom and @Luisrico1867 I've found a bug report here that was recently posted by another player. Would you like to take a look at it and see if it looks like your issue?
If so, just click Me Too on the first post on page 1 and add a reply if you'd like to do so.
