From what we see of Sir Henry Baskerville in Chapter 4, he most definitely does not seem like the kind of person who would be easily frightened. From his looks and from his attitude, he seems like a headstrong, brave man.
The chapter starts with a description of Sir Henry. Everything about it is strong. He is alert, sturdily built, has a strong pugancious face and thick eyebrows. All of these suggest a strong man.
When, later in the chapter, Holmes asks him if he thinks he should go to Baskerville Hall, Sir Henry is straightforward. There is nothing, he says, (no devil in Hell) that could keep him away. These are not the words of a man who is easily frightened.