It depends entirely on the requirements of the particular head-word (which are unpredictable, and just have to be learnt).
Afraid can take an "of" phrase (consisting of "of" + noun phrase), or it can take a "that" clause. but "of" cannot take a "that" clause. So your second example is grammatical, but your first is not. (I am afraid of the possibility that you are infected is grammatical, because "the possibility ... " is a noun phrase, and "possisibility" can take a "that" clause).
"Clueless" can take an "about" phrase; and "about" (in this sense) can also take an embedded question; so your third example is grammatical.
I am not certain about the grammaticality of your fourth example. I think it is OK, and that "clueless" can take an embedded question; but I don't think I would say it myself.
If you substitute "uncertain" for "clueless", then both of them are fine.