First of all, the second sentence doesn't look quite right:
私たちは生命の危険を失うおそれがあった。 = We risked to lose the danger of our lives.
I feel like you tried to put two sentences in one:
Also, the way you translate a sentence is not necessarily the way you should understand the said sentence.
To fully understand them, you should translate them literally by breaking them down into pieces, in this case, you should understand them as below
私たちは生命を失う危険があった。 = As for us, there was a danger of losing (our) lives.
私たちは生命を失う恐れがあった = As for us, there was a fear of losing (our) lives.
The difference is clear when you look at the Japanese, even though the meanings are pretty close, but you shouldn't rely on the translations to understand something.