Well, I don't even want to comment on
That "street exercise" is interesting. I think I would have less problem approaching people than "asking embarrassing and intimate things about themselves". Could do the opposite much more easily, I think: answer embarrassing and intimate things about myself.
I had a period when I gave myself tasks to make small talk with random strangers in stores or in the elevator (=situations that I would not normally think inspiring for approaching people). I had no serious issues doing it when I decided it was something I wanted to pursue for a specific reason (i.e. to test and challenge myself) but definitely did not feel comfortable and I felt a very strong pull of a characteristic avoidance reaction.
I do agree it's good to challenge ourselves to get out of our comfort zone in various ways and observe how we handle it. It can indeed be a goldmine of information learning about ourselves.
I personally think both action and introspection/reflection can be great paths to growth and to overcoming fear and anxiety... in a good combination. Trying new things, both in action and thought.