It works but it takes some time though- it doesn’t happen overnight in most cases. If you do hypnotherapy, you change your thought pattern… So when you’re walking, you don’t think “Ok I’m doing ok.. I’m nervous.. calm down. I’ll be home soon” No.
Your brain needs to be programmed to think “I love being out!” and then you don’t even consciously think about it.
Also, you could use a systematic desensitization program. Ask your therapist why they did not devise one for you as they are very effective for the treatment of phobias of any kind.