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' says to take the final letters.
'entering' indicates putting letters inside.
'late' becomes 'dead' (similar in meaning).
The last letter of 'leicester' is 'r'.
'r' placed 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" .)