It seems to happen to me particularly when I hear bagpipes. I know it probably sounds wacky, but I do often get this seemingly involuntary emotional/neurological response, like a chill up the spine, goosebumps, maybe eyes tearing a little. ('Course add a little booze and I’m a sobbing mess!). Always thought it had something to do with sound frequency vibrations kind of resonating/interacting with neurotransmitters creating an emotional response, in ways I’m clearly not qualified to explain :smack:! Maybe someone else can do a better job.
But it makes perfect sense You hear bagpipes. Autonomic response: FEAR! (Slower) conscious response: No attacking highlanders! Overall effect: tingle and shiver. 
Seriously though, I was going to mention almost exactly the same thing. Hear the skirl of the pipes and get shivers and chills. Seems to be wired into me.
I admit, I’m nothing like a biologist, but I don’t really see how not shivering in response to fear improves the odds of passing on your genetic material.
Also, presuming that selection would breed this out, I don’t see why it would necessarily have already happened.
Nevermind the question of when was the last time you got into a barfight and the big muscled dude’s hair started to stand on end? Just because cats do it doesn’t mean it applies to everyone. Humans display confidence and readiness to fight by standing taller, raising their shoulders, etc, but not with trim little afros. Oh, and, standing confident and tall is the opposite of being afraid.
Oh, sure, having uncontrolled muscle spasms is just wonderful. Ever wonder why you only shiver when you’re very cold?