Can a government be scared? Can an Ice Man?
Sherlock knows it's possible. He's seen it himself.
The very first time (that he remembers) is when three-year-old Sherlock fell into the lake while playing "pirate." Ten-year-old Mycroft fished him out, an expression of utter terror on his face. Sherlock then learned a new piece of information; endangered Sherlock=scared Mycroft.
When Sherlock was eighteen, involved in a raging feud with Mycroft over the younger one's lifestyle choices, he wondered if that equation still held true. On the day he almost gave up on life, he called Big Brother, who rushed to find him. Once again, an endangered Sherlock saw terror in his brother's eyes, and knew it still did.
When Big Brother watched him being tortured and didn't say a word, he might have wondered if the equation changed. But for a fleeting second, he saw the familiar terror in Mycroft's eyes, and knew he could still be afraid for him.
When Sherlock faked his suicide, when he was shot, when he was the one who shot someone, when he cycled into drug-induced delirium, when he held a gun to his chin, he could still see the fear lurking, and understood he still held that unique power over his brother.