I don't -actually- find any of them intimidating, but it's fun to say :p
It adds to the Red mystique! Even if they are all awesome, self sufficient, independent women who are more than happy to help anyone who asks! At least as far as I've experienced.
Why frighten? We're all just folks. :)
Also, Interrogations suck. They're hot and sticky and uncomfortable with people yelling at you <,<
And Arie Sedai, you'd figure the head of the gray would be more ecumenical in her poking XD
We all want attention! :p