Anxiety away from homeWatch
I would say it's natural to feel anxious when considering something new that would really push you out of your comfort zone. The benefits may well be huge, but only you can judge whether you feel your mental health is strong enough to consider this move at this stage in your life. If you'd be under 18 then colleges would have a duty of care towards their students and I imagine any decent establishment would have a strong pastoral department - especially if you will be boarding, so there would be staff who would be well equipped to support students with anxiety.
You could always consider (if you haven't already) having some counselling before you apply, to equip you with some new coping strategies.
If you feel you may not be able to cope at this stage, you could consider a gap year after 6th form, or going to uni abroad, which would give you a couple more years to build up your resilience and sense of ability to cope.