The most important thing is your comfort. If you go to the same dentist in a group practice, it shows that you are comfortable and have a good working relationship with that dentist in particular.
It is not rude especially if you have a dental phobia which your dentist already knows about and thus can also manage and treat you in a way that you feel most at ease with. So the answer is no, it is not rude.
Whenever I have patients who request for me in particular, I feel honoured because it makes me feel like as a dentist, I am doing something right to allow that patient to trust me.
There is nothing to feel bad about and keep up the good work! You have a dental phobia but you still go to the dentist, that is definitely commendable!
Have a good day ahead!
Cheers,
Dr Beth