The World Health Organisation (WHO) states that:“There is no health without mental health”. Health population studies show that the most common mental disorders are anxiety disorders. Nowadays, Virtual Reality Exposure Therapy (VRET) is used to help people manage their anxiety. The next step forward, is personalisation of VRET to further improve therapy and patient motivation. The effects of VRET would even be more increased by automating this personalisation by taking background and data from wearables into account. In the ongoing PATRONUS project, we aim at designing such a system that provides truly personalised VRET. In light of this project, this paper discusses the current shortcomings of Contextual Multi-Armed Bandits and related challenges in personalisation. Future research areas are proposed, namely the use of semantics in reinforcement learning and Contextual Multi-Armed Bandits for personalisation as well as clustering patients based on background information in order to train better models.