One of the very first classes of Ninjitsu, as taught by Yoshiharu McCloud (Yoshimitsu's father) is to lose any kind of fears in order to fully master oneself's potential at anything. Phobias are obstacles one is supposed to face and eventually conquer, although the timing of such conquest depends from person to person. Yoshi never really had phobias as a result, his parents often making sure that any sort of phobia he could ever have would be fought off as soon as possible. There's a reason his Draft preparation was spent mostly by facing near-death situations with loose correlation with the teams themselves... Well, two, but we're not exactly including the fact that Yoshimitsu is more naive than the humanly acceptable standards but he's also pretty much fearless, for better or for worse. That said, when he was six, he did fear ghosts. Nowadays, the ghosts would probably be more scared of him than the other way around, but that must count for something, right?