Mace Windu was a revered Jedi Master. Highly respected on the council in throughout the galaxy, he never showed fear towards the Sith or any of his enemies. The first time Mace showed some sort of concern or fear, was during this scene in Shatterpoint, which isn’t canon anymore, as it’s not legends material. I find it also interesting how he senses something like the battle on Geonosis would happen again. I suspect he must have felt Order 66, but didn’t know exactly what to expect as to how catastrophic it was.
Anakin Skywalker turned his back on the Jedi during Order 66, and I believe the second time Mace actually showed fear, was when Anakin took his hand and Palpatine blasted him with lightning.