As Kate Bunting points out in a comment, the sentence "She is always nervous when she cooks" means that the person in question is nervous on occasions when she cooks. The exact meaning and extent of the "occasion" in question is dependent on context: it could mean that she is nervous at some time relative to when she is cooking, but it could also mean that she is nervous after cooking (for example, when people are going to eat the food she cooked). It also carries an implication that she does cook regularly, although that implication is also carried by the use of the word always in both versions of the sentence.
The other sentence, "She is always nervous when she is cooking" limits the nervousness to the strict duration of the cooking. It makes no implication regarding whether she would be nervous before or after cooking, and likewise (absent the word always) would make no implication that she cooks regularly.
With an object, the shades of meaning are similar, but an additional distinction becomes possible with the number of the object and the telicity of the action. In the sentence "She is always nervous when she bakes a cake," the action "bakes a cake" is telic; that is, it is a bounded event with a definite endpoint, namely the completion of the cake. This endpoint is carried across to the action of being nervous so that the nervousness is again limited to the duration of baking the cake.
The sentence "She is always nervous when she is baking a cake" has the same telic action, and also action the event of being nervous to the action of baking the cake. This has the same reading as the equivalent intransitive sentence.
However, in the sentence "She is always nervous when she bakes cakes," the action "bakes cakes" is atelic, an unbounded event with no definite endpoint, which matches the interpretation of the equivalent sentence with no object.
For completion, the sentence "She is always nervous when she is baking cakes" implies that (at least sometimes) she makes multiple cakes at the same time.