For Sephine, who is a scholar first in her heart... I think she finds being a walking, talking political bargaining chip & her own one-man army very off putting. She's used to the scrutiny of Ishgardian society, always deciding the value of others... But I think the weight of being the warrior of light is very taxing on her. If she could choose, having the strength to defend those she loves, while also being an observer, would be ideal. Of course, that kind of thing is completely impossible, and it'd be naïve to dream of it.
The responsibility of being WOL itself is not the issue. I think she's just inherently bothered at being the piece of history, and not the observer.

For Ruzha... It's similar, but I think there's also a weight of having to trust others, and saving people who may not deserve to be saved in his eyes. As a WOL, you cannot choose who does and doesn't deserve to live... Everyone deserves that opportunity until they've proven there's no other option but death. Ruzha himself is paranoid and anxious, his life has taught him about all kinds of cruelty in the world... But he still chooses to forgo his (trauma?) beliefs in favor of doing what he believes the people he cares about would believe is correct & just.

TLDR: Ruzha has a harder time with it than Sephine, but both deeply acknowledge the weight of being the WOL