I would think it a positive that he's going to you - at least he won't take off and try to escape/disappear when he's frightened.
As for your last question, James isn't scared of much in terms of noises. Being a summer puppy and the location of his breeder, he spent his first 8 weeks amidst severe thunderstorms. I remember one time we went to visit and it was thundering out and the pups could not have cared less.
He's likes to follow the vacuum when it's on. Same deal with the shredder - he'll happily sit and watch it. A fire engine was turning in front of us in the car this morning and he just sat up and watched it curiously.
The one thing I've seen him scared of is our doorbell - a cowbell. It's currently sitting on the deck as it's missing a bolt and everytime he sees it he gives it its distance and barks and growls at it. I don't think he's even ever heard it ring - something about it just bothers him :P
Might give the smoke alarm a try to see what happens.