Elsa is terrified because she can't let anyone know about her powers or her depression. As a queen, she is supposed to appear normal and strong. Her powers prevent her from being normal and her depression prevents her from being strong, in her mind. However, I disagree with this mindset because being sad and depressed does not show weakness. Her feelings are valid and she has a right to feel sad, especially after what she's been through in her life. However, with the show, she was raised, hide, don't feel, she feels weak. Her worst fears come to life, she accidentally uses her powers in front of everyone. The kingdom and all the visitors are afraid and call her a monster. She runs away and creates her own ice castle, away from everyone, isolating herself once again. Being called a monster reinforces one's feelings of worthlessness, despair, emptiness and guilt. All his signs of depression are shown here