They may use drugs because they think it's going to help them deal with their social anxiety. By teaching them anxiety management techniques you give kids adaptive life skills, and those kids won't need to medicate themselves to deal with negative feelings coming from social anxiety. Another aspect of this is that kids want to use drugs to gain entree into a certain peer group, to be accepted by a certain group of kids, or as a way of being more popular. By teaching them a set of social skills that enables them to meet new people and build healthy friendships, you reduce the motivation of kids to use drugs. It's important to make kids aware of the fact that most kids don't use drugs.
Kids seem to overestimate how many kids their own age, as well as how many adults, use drugs.
By making kids aware of the fact that most kids don't use drugs, by making kids aware of the fact that it's normal not to use drugs, you reduce the pressure to conform to these external standards that don't really exist. You mention programs that emphasize the dangers of drugs have not been very effective, according to some studies. Yes, that's exactly right. The information dissemination programs have been the ones I've highlighted because they've been the traditional approach to drug abuse prevention in America. It seems logical that they would be effective.