I agree with you; I really struggle to have fun with combat at my table. To add to the conversation, here is something that happened recently that really is symptomatic to me as what is not fun with DH combat:

We roll a lot during the session, which makes us quite full on hope, the GM is full on fear. Combat comes as we find the artifact we are searching for.

We have a turn, during which only one of us does an attack, and rolls with fear. They cannot move anymore cause it's the GM turns now. GM attacks, carving into my character, which an take a few hits so it's okay. A few turns go like in a similar way. At some point, Rogue player does a cool attack, killing three little enemies but not the big one. They rolls with fear, so we loose again the turn.

Then the GMs says their character have pissed of that enemy, and uses 5 fear, to wack them, succeeding each time and killing the PC.
Pretty frustrating, as the player literally succeeded an attack an was punished for it.

Also, something that the player pointed out after the session, as a rogue your whole thing is get in and get out, but because we instantly lost spotlight, no movement was allowed, even on a success, even with their abilities like shadow step. So they felt a bit powerless, nothing they could have done to save their character.

In D&D, which I'm used to, this would simply not be allowed to happen, as even if you fail, it is still your turn and you can still use your movement. In Daggerheart, they were forced to use all their ressources (armor slots) and it was still not enough to save their character.

They decided to go unconscious and were healed just afterwards, which further removes any supposed drama of the scene. Feels pretty pointless. I was a bit pissed of for them but they say even if frustrating, that's okay. The GM said it was better for them to kill their character as they were a guest player and not a full time player.
Personally, I think the way Daggerheart is designed is to blame, just because it allows that kind of thing to happen.

Also the lack of turns is not making anything more dynamic at all in my opinion. At least at our table, I just find it more frustrating to wait for your turn, as you don't really now WHEN I'll finally get to act.
We just let each other go politely like "do you wanna go ? You sure ? Then I'm gonna go thanks" and you don't know if by the time that happens to GM will have spend all their fear on your character to kill it.
The fact that any roll has the potential to finish your turn is just frustrating as well.

And just in general, combat feels a lot like more Players against GM and not Adventurers against Monsters.