Aww man, you should look into crate training. It's really beneficial for dogs to have a little safe den, the crate should just be big enough for the dog to stand up, turn around and lay down in. This is handy since the crate becomes a safe 'den' area and also stops them from injuring themselves.
Dogs really live in the moment, so while he's acting scared; you guys have taught him that if he whines he gets affection D:. It's a little work to break, but if you ever need help dog training please hit me up. You can drop me a message on facebook (facebook.com/capa.jensen) or my Q&A email (radish_spirit at live.com)