As far as I know, Lucid dreams aren't associated with any of the scary things you're worried about such as false awakenings.
I've experienced both but they haven't been connected. In fact, a false awakening is sort of the opposite of a Lucid dream since you believe that you've woken up when actually you're still dreaming (where as, Lucid dreams are characterized by being aware that you're sleeping). False awakenings can be frightening if you're waking into a nightmare. Over my life I've had a few intense ones which started with me waking up in as I normally would only to find something awful waiting for me. That said, these are pretty rare (I think I've only had 3-5 false awakenings which were scary). Most of the time, a false awakening is just weird.
Lucid dreams, on the other hand, usually begin for me when I start to become aware of all the odd things in dreams that don't make sense. Sometimes it happens when I realize that I can't remember how I got into a specific situation. Usually it's the result of me questioning some element in a dream that's counter to my actual memory. As for controlling them, that tends to be hit and miss. Sometimes I've been able to will things to happen but usually doing so causes me to wake up. I think being TOO aware ends up disrupting your sleep.
The great thing about Lucid dreams is that, in my experience, knowing you're dreaming removes any fear. In fact, learning to become lucid is actually a therapy that is sometimes used to treat nightmares.
I remember when I was a kid I had a nightmare after seeing Terminator 2. I'd actually seen it about 10 times without issue but then a friend told me that the T2 had given him nightmares and I made fun of him for it. The next night, in what is a pretty clear case of poetic justice, I had a dream where I was being chased by two women made of liquid metal who could transform their arms into blades (as the villain of the film could). Anyway, it was actually very scary until some part of me started to remember that I'd seen Terminator 2 in theaters and thus I must be dreaming. I got the idea that if I just stopped running and faced the robot women, I could wish them away or something. I stopped running, stood my ground, and said something like "I know you're not real." Then, one of the women cut off my head :( It was so strange. It was like watching footage where someone drops the camera on the ground.
Anyway, after she decapitated me, the evil woman and the other death robot just kind of stood there, as if they didn't know what they were supposed to do now that they'd killed me. I remember thinking, "this is awkward." It was almost like I'd encountered a glitch in a video game that broke the game. We just starred at each other until I woke up a minute later.
The important thing to remember is that I wasn't scared, even when my head was cut off because I knew I was dreaming.
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