Worries will always be there; it's natural.
My cousin and his girlfriend lost their baby during labour when I was 20 ish weeks' pregnant with DD. I alternated between being scared and feeling guilty that I was still pregnant. I know of other mid-late losses too.
But...they are very rare, and statistics are on the side of having a perfectly healthy baby at the end of the pregnancy.
With regard to a CS, I had an EMCS which was very straight forward and matter of fact (and started about 10 minutes after they decided I needed it, on a Sunday lunchtime when they'd obviously had to summon everyone to theatre. We were very impressed!). Don't be worried about having a section at all. They're there to protect baby and mother ultimately.
I'll be having an ELCS this time and am looking forward to it being much calmer than DD's birth as there won't have been the failed labour / getting lodged in pelvis issues we had then.
You never stop worrying once you're pregnant, and then it continues once they're born, in a different way. As long as it's 'normal' worry and not all-encompassing / obsessive then it's totally natural and part of parenthood. :-)