This is a good question! It definitely varies from person to person, and a suggestion for those going through dilation therapy who have a partner would be to have the partner help you dilate (i.e., insert the dilator for you) to get used to someone else doing the penetration.
That being said, when you get through all the dilators and are rather comfortable inserting them (even if just by yourself), the ‘anticipation of pain’ should be less because you KNOW that this dilator (usually larger than a penis) can fit inside you comfortably. So while it’s a little different with someone else, and nerve-wracking if you’ve had unsuccessful/painful attempts before treatment, you’ve hopefully changed your mindset from “insertion = pain” due to your work with the dilators.
Happy to hear other opinions about this interesting topic, too. Hope this helps!