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.
The personality of Sir Henry Baskerville is clearly described in Ch.4 of the story The Hound of the Baskervilles.
"[He] was a small, alert, dark-eyed man about thirty years of age, very sturdily built, with thick black eyebrows and a strong,pugnacious face. He wore a ruddy-tinted tweed suit, and had the weather-beaten appearance of one who has spent most of his time in the open air, and yet there was something in his steady eye and the quiet assurance of his bearing which indicated the gentleman."
He is also an assertive person who will do just as he pleases. Sherlock Holmes warns him saying that his life is in danger, so he must not go to his ancestral home, but Sir Henry firmly tells Holmes that he will go there no matter what happens:
"Whichever it is, my answer is fixed. There is no devil in hell, Mr. Holmes, and there is no man upon earth who can prevent me from going to the home of my own people, and you may take that to be my final answer." His dark brows knitted and his face flushed to a dusky red as he spoke. It was evident that the fiery temper of the Baskervilles was not extinct in this their last representative."