Throughout many years of really good training they just get used to being watched, criticised, laughed at, mocked and told that they're getting it wrong! They develop a very thick skin and a strong mental attitude.
And when working with more experienced actors while performing with community theatres and student film-makers, they see that everyone messes up - all the time.
My daughter is a professional actor and she tells me that over the years of training you just start to feel more and more comfortable with the whole process. The drama students learn by seeing each other being directed, re-directed, told that they're messing up - and everyone laughs at the others, AND at themselves - and then they do it again, and again, and again until they get it right.
There's no malice in it - you just have to see the funny side.