Thats a really interesting question! I'm a male, and I'm fairly sensitive, but I'm quite open and comfortable with that, which wasn't always true. I understand that sensitivity definitely it comes with the NF territory! So are my INFJ friends similarly sensitive as well. I've gone through periods in my life where I've felt paranoid, worried, to the point I've felt sick. For me those are rare instances though, and they have also occurred for pretty tangible reasons. I've definitely gotten headaches due to stress probably due to ignoring factors that are causing me stress, but I don't know if I know anyone at all that hasn't experienced that to some extent. I've been fortunate not to have been diagnosed with any psychological conditions in my life. When you ask about internalizing it, I assume you mean something to the effect of kind of pretending its not there and ignoring it? I've definitely done that with my feelings and that never turns out well for me. I have learned (through a lot of trial and error) to face how I feel about things, and consciously acknowledge them so that I can move to thinking about it as quick as I can. I've become much more adept at that as I've matured. I wish I could give an answer to wether or not thats common, though ultimately I don't think its a good habit.
: ) Hope that helps.