Kinks, fantasies, confusion?

I’ve known I’m kinky for a while now, but I’m still very new to it all, and have only ever explored fantasies. A lot of what I think about is tied to a specific fictional character (a sort of “Bluebeard“ type), and right now I’m confused as to whether or not I’ve somehow “gone too far” in mentally exploring my desires with him, because of how much they seem to mirror abusive relationships (I understand that in fantasies nobody gets hurt, but this character and exploring fantasies with him has become so important to my identity and sense of self that I’m starting to feel genuine anxiety at the dark thoughts, as if I’m actually in danger and with an unsafe person). I know he is fictional, I just feel like something is wrong with me or I’ve done something I shouldn’t.

I know BDSM fantasies aren’t the issue here, but I don’t know what is. I figured this may be one of the only places I can try to explain this without automatically being called a freak.