'I am afraid' is the expression which is predominantly used in UK. For e.g. I am afraid the position you applied for is gone.
I am not very sure and comfortable using this expression, could you please elaborate the use of this expression.
It's used a lot, more as a way of showing politeness as anything else. If you have to introduce something negative, then say 'I'm afraid' before it as a way of signalling that something negative is coming and showing sympathy,etc.