Consider for a moment what kind of world the MC comes from, one that is seemingly very much like ours.
The MC finds himself trapped in a magical facsimile of his childhood home. Its floating in the sky. The fridge changes every time you open and close the door. The rooms are locked save for the ones the MC needs there and then.
With that in mind, then consider that the MC finds some....thing in his attic. She calls herself a succubus, a demon! Forget the idea that she's cute! Forget that she's as confused as he is. The MC comes from a world where in myth and tales, a succubus could devour the soul of a man through mating. And he's trapped in the house with her! Is she the spider and he's a fly caught in the web?
Because regardless of the joke that even when dying, a man is going to be thinking about sex, when the body thinks its in danger, the brain is clearing everything off the board and going "shitshitshitshitshitshitshitshitwhatdoIdo?whatdoIdo?shitshitshitshitshitshit!"
Now, consider the idea that, okay, this succubus seems friendly enough, she hasn't tried to rip his soul out...yet. But one day this "Rae" comes up and suggests they "etherwalk". Dude has no idea what that is, for all he knows, it could be "Hey MC, go down into the dark basement while I walk behind you with this hammer for protection." And then whack, he's in a bloody pile at the bottom of the basement stairs that he didn't even knew the house had!
On a more serious note, at the point where Rae suggests Etherwalking, the MC has had so much thrown at him, his head is probably reeling. And it is a lot to take in, I'm not the slightest bit surprised that he could be somewhat cautious at that.
In fact, I would be very, very worried if there was no option to refuse Rae.