Panic room beneath sadly unfinished (5)
I believe the answer is:
alarm
'panic' is the definition.
(alarm can mean panic or fear)
'room beneath sadly unfinished' is the wordplay.
'room' becomes 'rm' (abbreviation).
'beneath' means one lot of letters go next to another (in a down clue).
'sadly' becomes 'alas' ('alas' is used to express regret).
'unfinished' means to remove the last letter.
'alas' with its final letter taken away is 'ala'.
'rm' after 'ala' is 'ALARM'.
(Other definitions for alarm that I've seen before include "Announcement of danger" , "It signals danger" , "State of (sudden) fear" , "Frighten, warning" , "Device signalling danger" .)