I afraid of having done anything make me terrified.

对,是having done
不过你举的例句不太恰当.afraid有两个有些接近的意思：
1) 害怕,结构为be afraid to do / of doing.例如：
I'm afraid to swim / of swimming.我害怕游泳.
2) 恐怕...,用于向对方透露坏消息等.一般用I'm afraid (that) ...的形式.
I'm afraid I wasn't able to finish the task you gave me.
这两个意思一般都不会用到having done的形式.
enjoy后面也是接doing,不会接having done
thank you for后面也是通常接doing,但要强调“已经”的时候,也可用having done,但较少见.与此类似的还有I'm sorry for.
having done最常用的用法是作状语,意为“...之后”,相当于after doing.比如：
Having had dinner,I went for a walk.

不行
必须得是
I am afraid of......

I`m afraid of doing才对
那些后面都应该接名词才对，加doing其实是动名词形式。
have done的动名词就是having done
Having killed 13 people made him the very first one that is wanted thoughout the world.