While exploring the Black Keep, I decided to Voltron my Rogue to make them as untouchable as possible (Mage Armor + Dex bringing AC to 17, Shield of Faith to 19, Protection from Evil and Good to give all the undead Disadvantage and immunity to Fear, and a Shield Spell handy to bump it to 25 for emergencies.) However, in the first round, they were hit with a fear spell from a Skeletal Sorcerer, and got the fear effect wasting the next few rounds running away. Funnily enough, they were the ONLY member of the party affected by it, even though all four were hit by the cone. In the description of the spell it says Undead cannot frighten, charm, or posses the creature, and once they were afraid, I tried to cast it again to allow a repeated saving throw at advantage (also listed in the description) and that reroll never triggered, either.
As unfortunate as it is, I think it is pretty thematic for the Rogue to stick around to get the crown, and all the buffs, and then flee from the party at the first sight of monsters. However, as funny as it is, probably not intentional behavior.
The brightest light can see no shadow.