My shepherd is also afraid of thunder/loud noises. As far as I know, he was not frightened when young (and I've had him since 8 weeks). Rescue Remedy helps some but the safety of his crate (covered when the lightning is bad) is the best place for him. He's better than AccuWeather in letting me know that a storm will be upon us soon. Have you ever had a full grown shepherd on your lap?
Maybe some breeds tend to react differently. I do know the crate makes some feel safe. Lol, yeah I’ve had some big dogs TRY to get in my lap, a couple of my kids have large dogs and the funny thing is that my Yorkie doesn’t like to stay in someone’s lap!