In reply to VEGMC:
As an instructor at a Scout wall I find a couple of things help.
1. Rationalising (to the extent they can understand) as to how strong the gear is etc. For instance 23kN (most metalwork) = 2.3 static tonnes. It might be a bit of a twisting of the truth as you can never really achieve it, but "you could hang a car on that if you did it very carefully - you're a bit lighter than a car" does help to get over those who have "but the gear might break" type anxieties, as does stuff like "are you scared standing looking out of your bedroom window? Well, this is as strong and it's tested every few years too". It sounds a bit scientific but if explained right Beaver Scouts (age 6-8) do sort of get it, I guess with a bit more simplification a 4 year old will. Though I've not instructed the new age 4-6 Squirrel Scouts yet, they are only just starting up.
2. Get them comfortable sitting on the rope (start low down if necessary). When they feel it's as safe as being on the ground, then they get more confident at pushing themselves, because they get that they'll just end up sitting on the rope.
3. If they do get scared, get them very tight on the rope and see (2).
Regarding your last sentence this isn't at all unusual - there's something about ropes, harnesses and helmets that makes things seem a bit more serious than a climbing frame or even a tricky scramble despite the latter being more dangerous! I guess it's just about getting used to it.
Can't help re leading, I'm not very good at that headgame myself unfortunately and I don't instruct to that level.
Post edited at 23:26