In "Doctrinal Discussion" William Sillings writes:

The captain of fears, according to John’s first epistle, is fear of punishment by God. “Herein is our love made perfect, that we may have boldness in the day of judgment: because as he is, so are we in this world. There is no fear in love; but perfect love casteth out fear: because fear hath torment. He that feareth is not made perfect in love” (4:17, 18). So, the wall plaque is correct, “The fear of God is the fear that drives out all others.”
It should not be assumed by this passage, however, that all fear is sinful or the result of not loving God. Some fears are lodged deep within the subconscious and need to be treated psychologically. They do not have spiritual roots. Nevertheless, even here the fear and love of God are often the keys to freedom from deep-seated fear which does not have moral overtones.

Source: Studies in the Psalms: Adult Teacher's Insights, page 26.

In "Biblical Perspective" Gordon Snider writes:

The shadow of death emphasizes a place of deep darkness and gloom, which may or may not be associated with death. I will fear no evil. This statement must be balanced with other passages, such as Psalm 56:3, 4, where the psalmist admitted that he struggled with fear. Christians do not ignore difficulties; they conquer them. In the metaphor evil clearly did not have moral implications for the sheep. Bad things do happen to good people, but the psalmist said that he did not fear that those bad things would have a permanent injurious effect on his life. The basis of his confidence was the presence of the Shepherd — thou art with me. The Shepherd's primary goal is to get us to the destination. His motivation is to keep us on the “right path.”

Source: Studies in the Psalms: Adult Teacher's Insights, page 18.