Srisha S. answered 08/23/19
The Scarecrow, who didn't have any brains, could not understand a wise and powerful woman. When he told his friends about her, the Tin Woodsman wasn't too worried; he'd been engaged before. But the Wizard appeared to him in a different shape: a great monster. So not only can the Wizard change shape, species, and gender, he can make himself into something wild which can't be reasoned with.
The Lion might have been able to deal with a wild monster but fire can't be beaten with brute strength — and now the Wizard can turn himself in to a raw element. What hope could they have of defeating him?
In each case, the Wizard was trying to present himself as something intimidating and unknowable, with a dash of fear on the side.