Hello Lydia, As previously said , A is correct here! I wonder how come you say it should be B?! Unless B= " caught on" and you made a typing error. Then it is : "That building caught on fire worried them." In this case it would be more appropriate to use B because "caught on fire" indicates that the building started to burn with flames and that would worry them, as how to quickly save the situation and extinguish the initiating fire before something more unpleasant might happen . Number A " on fire" on the other hand means the house is already burning, and their feeling at such a sight wouldn't be described precisely as "worry".It presents then a higher degree of anxiety and fear than merely worrying. So A wouldn't be that appropriate in this case.

Yes. Neal is correct. A. is the only correct answer. B is wrong.

Hi Lydia If the whole sentence is "That building ____fire worried them.", then is it not possible for the answer to be B. The only correct answer is A

I guess the catch is that without a had/has /has been and so forth it sounds a bit weird.The sentence "That building on fire HAD worried them" will probably do ,hence the phrase "on fire" is widely used.