Shrink from Leicester finally entering late (5)
I believe the answer is:
dread
'shrink from' is the definition.
(thesaurus)
'leicester finally entering late' is the wordplay.
'finally' suggests the final letters.
'entering' is an insertion indicator.
'late' becomes 'dead' (similar in meaning).
The last letter of 'leicester' is 'r'.
'r' going within 'dead' is 'DREAD'.
(Other definitions for dread that I've seen before include "Fear - dire" , "Be afraid of - anxiety" , "quail" , "Great fear or apprehension" , "Terror" .)