The course and the people and the place - all new and full of unknowns. So I totally understand that would be firing off the anxiety.
But the structure is usually really clear with dbt courses, so you may start to feel comfortable quicker than with other settings you've come across.
Plus, my personal experience is that the bulk of people doing any given dbt course will have almost universal issues with personal safety, from chronic serious self harm to chronic SI. You'll be among peers, and most (if not all) of them are going to be suffering a similar level of anxiety, for similar reasons.
A good facilitator will be completely across those issues from the outset. Their job isn't to make the course terrifying, their aim is to get as many people living healthier, stable, more rewarding lives as possible.
Fingers crossed for you. I think the rigid structure can often be a blessing to the extent that very quickly, you know exactly how it all works and what to expect. The certainty of structure can be really helpful in making therapeutic settings feel safer quicker:)