Me alegro de venir: the same person, and siento que

Same person: the infinitive

As with wishes, que + subjunctive needs someone else to do the second verb. When the person who feels also acts, drop the que and use the infinitive:

The de of alegrarse de and tener miedo de stays; only the que goes. Es una pena with nobody in particular takes the infinitive:

• Es una pena no poder ir. - It's a shame not to be able to go.
• Es una pena que no puedas ir. - It's a shame you can't go.

Siento que and me temo que

Two verbs have a second meaning that reports a fact, and the mood shows which one you mean:

Me temo que is the polite way to break bad news, like English I'm afraid that: it reports, so it takes the indicative. Real fear takes the subjunctive.

Mistakes English speakers make

Siento que estás enfermo is not ungrammatical: it means I sense you're ill, which is rarely what you want to say.