I would avoid zone-wide chats. They end up in pissing contests about who's cooler, edgier, better, etc. Local or proxy chat let's you talk to a party directly in front of you, like you are actually addressing the person instead of the name in a chat box.
As to what you should say, say the first thing that comes to mind, short of "want to buy GF". Find similar minded people. Additionally, join guilds or discords. Check the game sub for guild finder stuff, join medium sized guilds that are doing content you like. Be prepared to leave if you don't feel like you fit or it doesn't mesh well. The beauty of MMOs is they generally have a decent sized player base, you'll find community somewhere. They just rarely come find you.
What I'd say regarding anxiety....everyone has usually been where you are. On ESO, I help run a 1k+ person guild, where most groups are doing hard mode content or trifecta content (speed run, hard mode, no deaths). I don't want to do the horribly sweaty stuff, but I've done some hard modes and such. Decent parse numbers are 110-120k just about, and I hit that. But when I started, I was at like...50k. I joined a group, talked to people, and bit the bullet and let people critique my gameplay. More often than not, if you are asking for help, people will give it and help you along, and that's a big reason why we grew. We encouraged people to post parses, to show gameplay, so that it could be reviewed and advice given. It wasn't public, but a fair few of us could see it and give pointers and suggestions.
Everyone starts somewhere. Just take the thoughts out of your head and put it in the chat box, and see who vibes with you!
Nah, I haven't played ESO as part of the guild in over a month. I still get on and do some stuff, but it's solo stuff or just with a group who linked up. Unless you're joining an end-game guild, I'd say the function is more social than content. T&L maybe a little different, but the point of the big guilds is that you can join, and you have a group of "vetted" players you fit in with to play when you want to. It is what you make of it, y'know?