I do wish people were more aware of how common pre-cancer cells are. Generally speaking, there are about eight major functional changes in the cell needed to go from 'cell' to 'cancer cell', and on average, each takes about a decade to occur. When I first learned about this at the age of 20, I already had a bunch of cells that were 2/8 of the way to cancer, essentially. (Not counting mutations I was already born with. Most of us are, which is why cancer is common before age 80.)
It's fair to say that it's a "failure of immunity," though it's a bit more varied than that. You might have started with a failure of the immune system, in the sense that something like autoimmune proliferative syndrome means cells that should be committing suicide aren't, and so eventually you have cancer. More common is a "normal" immune system, and a cancer cell lineage that evolves to be invisible to it.
Either way, it's fair to say that normal cells and cancer cells are divided by the fence of "immunity," and cancer doesn't happen until the cancer cells hop the fence or the fence falls down.
I suspect the fear -> cortisol -> immune suppression -> cancer pathway is probably, quantitatively, pretty small.
Stress does have negative effects on the immune system, in the broad sense, but granularly it gets more complicated. For instance, one of the key cells involved in keeping cancer at bay is the CD8+ cell. While total CD4/CD8 t-cell counts seem to trend down when cortisol trends up, CD8 T-cell counts actually trend up.
We know that Natural Killer T-cell activity drops in response to cortisol, in isolation, but that it has differing effects on NK cells in different organs. In some organs, it had no impact at all, due to shielding by other inflammatory signals.
It's probably true that there are some people who, if they didn't stress out about getting cancer, wouldn't have gotten cancer. I suspect that number is very, very, very low, though, and I'd certainly never tell a patient (or believe about a patient) "if they'd had different thoughts, they wouldn't have cancer."
I can't rule it out as never having happened. It's not physically impossible. But, compared to all of the other things that play a role in cancer development, it's probably not worth mentioning.
(I feel like I should clarify on the first paragraph: in short, every cell is somewhere on the continuum between 'normal cell' and 'cancer cell'. The only difference between the two is time. Like that Palahniuk quote, "On a long enough timeline, everyone you love is dead"? Well, "on a long enough timeline, every cell is a cancer cell.")