At times, I get that "anxious" feeling while watching a tense drama - but it's not a problem, because I know, it's a just a show! But imagine, if you were watching a movie, and you forgot that the scene was just an illusion on a screen. Well if that happened, all of sudden it's real - the villians are a BIG problem and you'd run from the theater in terror.
A famous instance of this was a 1938 broadcast called War of the Worlds. According to one estimate, over 1 million people panicked, believing the world had been invaded by aliens. And it was only a fictional news radio program!