Here's a thing people don't understand.
If you rob a bank. You're as scared as you will ever be the first time you do it. But also, you're the safest you'll ever be as a bank robber. You haven't left a trail yet.
By robbery 100, you're cool as ice, but you're closer to doom than you've ever been. You have an MO now and the cops are closing in with every step. But you have done the thing so many times that you're getting more comfortable, not less.
So too with all fukcing around/finding out adventures.
Grizzly Man was getting closer to death each step, but was more and more comfortable the closer he got.