Re: Anxiety. The science shows that the physiological responses to anxiety never become much less in someone, even despite desensitization. What changes is the person's sub-conscious and conscious interpretations of those changes.
So for instance, Michael Jordan was nervous as hell for every game-winning shot he took. Just as nervous as the biggest choke-artist in sports. Physiologically, their responses are identical. What was different about Jordan was that his mental machinery processed his anxiety extremely well. Others aren't as lucky (or disciplined... or both). Learning to channel anxiety well happens by building confidence, which is a whole conundrum unto itself.
Someone who harnesses anxiety successfully will feel a surge of adrenaline and excitement. Someone who doesn't will feel stifled, paralyzed and afraid (obviously).
Re: people not handling rejection. Excessive anxiety comes from trauma early in our lives. The earlier and more severe the trauma, the more stifling the anxiety. The idea with getting blown out a bunch and "getting used to" rejection is that you feel the pain and realize it isn't that bad. Well, there are some people where it REALLY IS that bad. And therefore it leaves them worse off than when they started. These are extreme cases. Although, generally, the more anxiety one has, the worse they'll be at handling rejection (predictably).
Unfortunately, these traumas "imprinted" themselves onto our psyche's and removing them completely is more or less impossible. Or at least, no one has figured out how yet. Rather, the goal is to become aware of them, and process them effectively, and build better emotional habits on top of them.
What crazyhorse experienced is exactly correct and typical for someone who "re-wires" themselves to handle their anxiety effectively... I still feel my approach anxiety and my sexual anxiety when I'm in a club or in bed with a girl. It's just that my experience and confidence allow me to behave differently now. Whereas my anxiety used to overwhelm me, now it's subtle. It used to scream in my ear, now it's like background noise. Obnoxious background noise. I've built newer, positive habits on top of my old negative ones. But the old negative ones are still down there. If you really pay attention, you'll feel this too.
In pick up, the analogy often used up until this point with anxiety has always been something like weightlifting. You get in the gym and work on it until you build up to it over time. 100 approaches destroys approach anxiety better than 50 approaches which is better than 10 approaches. The reality is that some guys largely "overcome" their AA within 10-20 approaches. And some guys still struggle with it after going out and approaching for years and years.
A better analogy is probably something like dyslexia. If you've got it, you're hosed. It never goes away. All you can do is train your mind over time to work around it or build habits over it. That's the best you can do.
So in a way, you could say that most of us are here because we're emotionally-handicapped in some way. But then again, I've been saying that for years.