As FEAR is a being made out of the merging of the Prior- Erhvtgrl and Fear, a lot of their backstory is in these two. If you want, you can go read those two backstories in full here and here. Else i will sum it up shortly:

Prior Erhvtgrl was the daughter of the first Lorenx and tasked with being a precurser to the coming Versai - advisors to the Leronx and Heiva. As such, it was additionally her job to bear a child who could properly take over the role as a proper Versai. Her entire life she strived to never make a single mistake in the pursuit of her father's acknowledgement, which ultimately never happened. She was a very angry and bitter lady as a result and never saw anything she did as good enough, instaed always longing for what her brother Artes had. As she continued to accumulate achievements and power, she one day met Fear.

Prior Fear was since birth an outcast. Being a Glush first and foremeost, and secodly one who could stare into your very soul with easy intimidated people, and so the title of Fear came naturally to him. However, rather than having wanted it, it was forced upon him, and Fear soon became his name, as no one had ever bothered giving him another. He leaned into the role - if the only thing he could be was fear, then he should at least play the role. Though being more timid and curious by nature, he learned to take on a manipulative and intimidating personality to correspond with others belief of him.

When the two met, Fear tried to intimidate her like he did everyone else. However, Erhvtgrl stood unimpressed and insisted he proved his powers to her. In an attempt to do just that, and in wild confusion, Fear looked into Erhvtgrl's soul and saw her dislike of herself and those around her, as well as her, by then, pressing matter of having a heir. He saw this as an oppertunity - Erhvtgrl was recognized by many as a scary, powerful authority and actually interacted with her, in contrast to him. Wanting what she had, and knowing he could give her a heir in return, he made her the offer. If she would allow him to merge his soul with hers, so that she could gain all that he was, and in turn he would become all she was, he would give her a heir. Erhvtgrl saw no downsides to this and agreed, the boy was amusing to her, and what downside could possibly come from this arrangement for her?
The two spent the next months together, Fear taking care of anything Erhvtgrl asked for without her needing to every lift a finger if she so wanted to. The two started to warm up to each other, Fear finally having someone to talk to and share his thoughts with, and Erhvtgrl being out of the spiteful eyes of judgement everyone around her usually had. They grew very close to each other, finding great joy and comfort in each others company, and as the time for the birth of their heir finally came, the two were inseparable.
Erhvtgrl gave birth to a girl, Hkt, and they choose to give her the name Hkt. A nonsensical name with no meaning, but to them, it was a name that held a lot of value for that reason alone, that no one else would find anything in it. Not knowing how to take care of a child, and having the second part of the deal stand right in front of them to become one, they decided it best to send their newborn daughter elsewhere. They spent one day with her, before they decided to send her to Erhvtgrl's brother Artes - after all he had a child himself before all of this occured, and Erhvtgrl knew him to take good of his child, so surely he would honor a lone child at his doorstep and take her in. They sent Hkt off with only a note of her name to Artes, hoping for the best, before they merged their souls into one.

having been unsure if it could even work properly, FEAR was surprised to find themselves whole, and as one. They were no longer the Erhvtgrl and Fear they had been, they were a whole new person, with memories of both their pasts and eveyrthing that belonged. Howver, they felt whole and content, like everything they both had ever wished for had come true.
At first this was a somewhat frightening experience. After all, where was their partner? Were they really themselves? it was a concept hard to comprehend as well as accept for them, but knowing they were one and feeling as confident and content as they did, they reasoned it out, and came to a conclusion. They would keep the title of Fear, a title they could feel had not quite left them, and what had priorly been Erhvtgrl didn't entice them much. The empire, the fame, the judging eyes - they preferred to be a nobody, as the prior Fear had been. Unknown, with only what people thought they knew to their name. It was a good way to stay alone, to keep people from seeking them out, to keep others from raising suspicion. So they kept the name but would always refer to it in capitalized letters, FEAR. They left behind what legacy they each had before, not that the prior Fear had much. They also decided that they weren't truly just one - they were two, together, and so they would, and always will, refer to themselves with "they".
They used a couple of days to get used to the new sensation of being one, testing their new combined powers and body. They quickly grew tired of it, the only thing they really wanted was to be together, together and undisturbed. However, they couldn't keep themselves from the though that maybe they could do what they had done to themselves to others, merging two souls perfectly into one. And so they collected souls and brought them with themselves to their lair where they stayed. Surprisingly for them, they needed no sustenance, no food or drink, and so they quickly found their sense of time slip between their finger.

FEAR has stayed in their layer now for all of time, the only information they get of the outside world being poor souls who find their way to their lair, as FEAR will not let them leave, and look through their soul to see what they know, in that way getting glimpses of what is happening outside.
Because of the "no return" everyone knows there is from FEAR's lair, no one dares go there unless they're absolutely mad, just plain stupid, or don't have too much against never getting out again. This is also the reason why not much is known about FEAR, they are an entity everyone is afraid of and keeps their distance to, and most people would like it to stay that way.
FEAR most certainly liked it that way too, as they get to spend more time with themselves, in the comfort they are. The only time they ever wonder what is happening outside, is when a soul bearing information about Hkt comes to them, in which case they will wonder how their daughter is for a short time.