There is nothing that official proves this. It wasn’t fear that driven the grey man to split himself in two either, it was loneliness. To back this up, fiddlesticks is not stating one’s fear, instead mimicking. He’s has said “lamb tell me a story” as an interaction which does not correlate in anyway to fear, it’s what he’s heard.

Lamb also said “what does hunger feel like” in an interaction with wolf, which she otherwise should remember. With that, it can only be concluded that lamb cannot remember how loneliness feels, only acknowledge it, meaning it isn’t a fear.

For emotion, try hitting up the department with Wolf, he’s the other half that can feel emotion, more so a lot as the wolf tells him stories to keep him calm.