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The point of why we use it (apart from the fact that it WORKS!)
Really? I don't think so.
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is because it tells guys - listen, you went out there, you got her attention, and you delivered the WORST pickup line EVER - so this must be the WORST "rejection" you could ever get. And, what happened? She said no, or laughed, or walked away. That's IT. That's ALL you were afraid of! She didn't call the police, or punch you, or eat your face! Now, imagine what would happen if you said something actually GOOD!

What it also teachs is, "see people don't like you when you approach"
Stick an arachnaphobe in a bathtub with 10 Thai tigers (a tarantula breed that is notoriously aggressive). And when he is bitten several times and climbs out in pain give him a shot of anti-histamines to counter-act the venom. Then tell him as he qaukes with fear the red bite marks still burning all over his body....
"Look! That was ten super aggressive spiders which you were stuck in a bathtub with! And your still alive!"
How do you think he's going to re-act the next time he sees a picture of that spider? You honestly think the "look I'm still alive" gives him any comfort?"
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If your going to beat an anxiety with de-sensitisation then you provide the stimulus WITHOUT the negative response. Otherwise you just re-inforce the anxiety.
If you want someone to lose their fear of approaching then put them in....
Approach -> Positive outcome.
Don't put them in
Approach -> Negative outcome.