It's not a sign that Madrid being afraid of Arsenal. They have faced the same situation many times, but it's pure their coach wanted his players to get more time to rest. However, i think having likely 4 days to take rest is enough.
I also agreed La liga did it right by rejected Madrid's request. it could give nuance they get a special privilege from La liga.
Defeat and victory are not about fear or courage of a club against one opponent, but it often leads to fatigue of the players and also the wrong tactics used by their own coach. So what you said is also true where Madrid might need something else including rest to make a more mature evaluation in undergoing the second leg later. I also often see difficult comebacks from Real Madrid in previous seasons but it was done very well by Real Madrid, but for this season I personally also see it will be much more difficult for Real Madrid to make another extraordinary comeback in the second leg.