Perhaps they would, but I would guess that you would still get scared when hearing the warning instead of the shock it self.
For example if you would get stabbed 15 seconds after hearing a beep I think you would develop pavlovian like response to the beep itself.
Counterpoint: a warning may not avert the fear but still be beneficial in cases where the person needs to prepare themselves to avoid a sudden fall/etc.
Could see it very useful if you're driving. Might even save other peoples lives in the case of a crash.
What if it had the user press a button to trigger the shock? Would it help them prepare for it?