As a relative newcomer to this, I can tell you that it is not odd to be threatened by just about everything at first. My wife is actively poly and has three lovers. I don't have any or actually want any at this point.
I did encourage her to go for it when we first discussed the possibility of a poly lifestyle. The first few times she had sex with another man definitely scared me as much as it turned me on. Now, I am not scared at all and I am actually not as turned on by her sex now as by her happiness.
My advice is to give your wife what I need from my wife-- constant reassurance that she is and always will be No. 1, and plenty of affection.