Er hat Angst davor, zu fliegen.

Could someone please explain why we wouldn’t simply say, Er hat angst zu fliegen. What roll does in “davor” play in this sentence?

There is no particular reason for this, at least none that I, as a native speaker, could think of. It sounds a bit more elaborated but that’s about it.
What I can say though is that this comma is completely wrong.

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Vielen Dank, dlobok.

Could there be a missing previous context that indicated the “he” referred to is reluctant to start his trip, which “davor” refers back to?

This is not a mistake the comma. Check the grammars for the “Infinitivkonstruktionen”.

Because this is German! Really sometimes question should be posted with “grano in zucca” as we say in Italy…