I think Trump was raised in a "Richie Rich" type environment, and probably hasn't had to be polite to anyone except maybe his parents since he was a teenager or young adult.
He's obviously a narcissist with a huge ego and thin skin ; he can dish it out but doesn't take it very well.
I don't think he was at all afraid of Megyn Kelley, and skipped the last debate for a couple of reasons:
1) He just wanted to see if he could get the Fox ratings to drop so they would lose advertising revenue to use as leverage later on when he deals with them (that's how he thinks....$$$$).
2) He didn't think he had much to gain from showing up at that debate, and knew they would attack the front runner.
With him gone, Cruz became the front runner and they threw the flack towards him, and the points made about him changing his stance on amnesty, coupled with his poor attempts at humor which did not turn out well made him look bad.
I think he knew exactly what he was doing, and it doesn't appear to have hurt him at this point.
Plus Cruz has dropped in the Iowa polls at the last minute with no time to regroup.
Who knows how the Iowa caucus stuff will go with their history of surprise wins there, but it will be interesting to see.
Just my take on it.
-Ted
