Learning is a process of change by which new skills or knowledge is acquired. Any change is stressful..it involves some pain. Unless a person goes through this stress, change cannot be created in his/her mind. And this stress is not necessarily a bad thing, as long as it is within limits. This kind of positive stress is known as eustress - as opposed to distress.
Should a trainer try to project the training class as a "fun" activity ? I believe not. A trainer should definitely not scare trainees by making the subject sound very difficult. At the same time, the trainees should get the message that they are not in the class for fun. Learning involves work and the associated stress. There is no running away from this. Trainees should be mentally prepared to accept this, and trainers should not shy away from pushing trainees so that they can achieve the learning outcomes.