Pain is by it's very nature , distressing. This is particularly so when occurring for , apparently , no reason. Added to which the sufferer of the so called "Wikipedia reference-linkfrozen shoulder" may hear of other sufferer's tales of woe, their various unsuccessfull attempts at dealing with it and the variety of opinions on it's cause, treatment and natural history. Little wonder that those with this diagnosis ( I should include here those with "impingement" diagnoses as well) have cause to be worried, anxious and more. It would seem to be a somewhat natural feature of any pain related problem that seems to confuse professionals whose poorly established opinions , ,in many cases , adds fuel to the anxiety fire.
I find commonly that once patients have had the problem explained to them , it's cause, it's likely sequence during appropriate treatment and an establishment of therapeutic attention, anxiety virtually ceases.