Right or wrong, you get worried. Or embarrassed. This usually results in avoiding the issue entirely or avoiding it when other people are around. See, for example, bentchophobia.
Granted, it doesn't happen to everyone. (Though I suspect those people may be liars.) And most people only encounter it during certain phases (::coughduringtheconversionprocesscough::) or about certain topics. I think it's usually a little of both. A few periods of general "I'm doin it all rong!" and many periods of "What is up with this one thing that I'm so stupid at!"
Let me give you an example from my own life.
Netilat yadayim. Ritual handwashing. I can tell you the debates over when it is required and the debates about how to do it. But I am too embarrassed to say the blessing loud enough for my own husband to hear. In fact, I don't let anyone listen to me say anything in Hebrew. I mumble very quietly. I'm self conscious. Go figure. I feel like a five year old. A five year old DOIN IT RONG.
I finally had to read Hebrew aloud in front of him for lighting the menorahs for Chanukah. (Yes, I made it a month into marriage before the poor man heard me read Hebrew...I'm a ninja.) I stammered and messed up the most basic things, including nearly setting things on fire. I was that nervous. It took at least five nights for me to get into something resembling a groove. And I still felt like an idiot.
I suppose it's only human, and it's natural. On most subjects, I'm already at the "F it"stage. I'll do what I know how to do, and if I'm wrong, so be it. I just hope someone will tell me nicely. (Granted, I may not accept your position as the halacha binding on myself. Maybe I am right, just not according to you.) But some things still make me nervous, and maybe they always will. Some people say being a little neurotic is a very "Jewish" quality, especially if those people are Jewish comedians.