Maybe he simply figured out that if you're afraid, it all only gets worse?

Then again, this is a man who will travel across the wildest and most dangerous places, so I suppose a city really shouldn't be a cause for concern.

Depends on the city. ;-) Damien strikes me as something of a Crocodile Dundee style - a lot more comfortable and familiar with being on the move and out in dangerous places than in situations that would be normal to most people.