I ask because there are lots of ways to end up with one of the conditions, and many effects talk about increasing the effect, but I havent seen any rules that say you can only be in one state of fear.
The cumulative effects of fear are better defined in Special Abilities on Fear. The main point is this:
Fear effects are cumulative. A shaken character who is made shaken again becomes frightened, and a shaken character who is made frightened becomes panicked instead. A frightened character who is made shaken or frightened becomes panicked instead.