The Wizard wasn't just trying to frighten them; he was trying to appear mysterious and inscrutable.
The Scarecrow, who didn't have any brains, could not understand a wise and powerful woman. When he told his friends about her, the Tin Woodsman wasn't too worried; he'd been engaged before. But the Wizard appeared to him in a _different_ shape: a great monster. So not only can the Wizard change shape, species, and gender, he can make himself into something wild which can't be reasoned with. The Lion might have been able to deal with a wild monster, being King of the Beasts, but fire can't be beaten with brute strength -- and now the Wizard can turn himself in to a raw _element._ What hope could they have of defeating him?
In each case, the Wizard was trying to present himself as something intimidating and unknowable, with a dash of fear on the side.