I think there's a certain amount of nerves and anxiety on some level for everyone who competes. The way I try to approach Crystal Brush (and alleviate my show related stress) is to remind myself that I'm still an amateur painter. I may take it very seriously and have put a lot of work into learning the craft, but I don't make my living from it. Meanwhile, if you go to Crystal Brush, you're competing against the best in the world and a good number of professional miniature painters. When a person who does this as a hobby competes against a pro, the hobby painter isn't supposed to win. I don't go to Adepticon because I plan on walking away with a medal, I go to see work from the best in the world in person, to take part in classes/workshops, and to see friends and make new ones in the painting community. Sure, I also want to try my luck and see if I can compete against the best and maybe, if I'm lucky, edge one of them out for an award. I can't say I don't have any nerves going into the awards ceremony. But I show up to the show expecting to lose and that lets me relax and (mostly) just enjoy the experience. Yeah, I'll still hope that I'm wrong and might win something, but try to manage that feeling as much as I can.
Plus, for any show, you're being judged by people and people are definitely not perfect. You hope the judges will be as fair and impartial as possible, but in the end they're just expressing their opinion. The medal or award does not represent 'the truth' or some all powerful statement of who is better than whom. Remember, at a show your piece gets viewed by everyone in attendance. And, if you make the cut at the Crystal Brush, by a whole lot more people online. BAM, how many comments did you get from people on your work? I'm guessing quite a few. I can think of a number of my own pieces that have gone to shows and not won a thing, but people commented on how much they liked it, how it was their favorite piece, how neat it was, etc. The point being that even if you don't win, just by showing up and entering your work it can make an impression on a lot of people. So there are plenty of benefits to competing besides what the judges think.