No, a lot of things give me anxiety but I was fine with drills, unless I was in P.E.
I have hearing problems, it was worse as a child and a teen because of otitis, so there were sounds I couldn't hear at all and others like muffled, so the alarm was not that aggressive for me and the drill itself, just gave me a little break from class...but seeing how stupid we were, not taking the instructions seriously made me a little anxious about the security. I thought that if it wasn't a drill we would be all dead.
Kind of. I was never anxious about fire drills themselves, when they would happen, or the alarm, but rather I was anxious about participating in them. I have mobility issues that affect my balance and make it hard for me to walk quickly, so I was always anxious about trying to get outside with hundreds of other people and then back inside without falling or getting separated from my class. I was especially anxious about a fire drill happening while I was in an upstairs class and having to go up and down the stairs with so many people (this was a challenge with having classes upstairs in general since I always need to hold onto the handrail, and that wasn't always easy when other people were climbing the stairs).
I missed a few days of school myself just to avoid fire drills, but thankfully nothing bad happened during any of the drills I did participate in. There was a bad fire in my apartment building a couple years ago, though, so I have bad fire alarm anxiety these days.
No, they were startling initially at the worst, and then I was just happy to not have to do school work for a bit. Unless it happened in the fall/winter, then it was just cold and annoying.