Where did kaidou fear death?
Oden didn't want to, Kaidou let him decide that, he was loose in a prison with his swords and could choose to leave there whenever he wanted, he even received a visit from his wife. LOL
You can attribute this to the fact that Kaidou is the king of wisdom and that is one of his epithets, that is where all the source of knowledge comes from, he doesn't necessarily need to be from Wano to know about the Kouzuki, this shit may have been told in God Valley, who knows?
In Zou Kinemon said that Kaidou was hunting them because of the information he thinks they have regarding Laugh Tale, but says that Oden never told them. So Kaidou assumed that Oden wouldn't tell him?
Kaido didn't fool Oden in their fight and was extremely angered by the interference. Kaido didn't ask for help, he even killed the person who interfered.