I think I know what frightened her..

..or rather, WHO frightened her.

In S2E3, during Irving’s visit to O&D, Felicia mentions that O&D workers used to make deliveries to the Exports Hall all the time, but not anymore. She said that a man now gets deliveries from O&D, and takes them to the Exports Hall himself.

Fast forward to the scene where Cobel becomes frightened after she follows Helena to the entrance of the Lumon building. A tall and serious looking man, presumably Helena’s bodyguard, is standing at attention. My theory is that in that moment, Cobel realized who that particular man is. He is not one of Lumon’s generic henchmen. This is the man that took over delivering items (and Lumon employees) to the Exports Hall.

While there are several other reasons why Cobel could have become scared and fled, it seemed as though she recognized the danger once she could see that man more clearly. I welcome your thoughts!