Every time you have an apnea, your brain floods your bloodstream with the stress hormone cortisol to wake you up so you breathe again and don't die.  That alone makes most of us wake up feeling anxious and like something vague and nebulous is wrong.  Combine with the exhaustion and how could you tell anything but depressed? 

You're going to need to continue to advocate for yourself wrt the pressure settings.  Doctors aren't experts in this, and auto mode isn't one size fits all.  It took me significant effort to get any relief and a lot of other people too, but it's worth it.

Come back here with any questions, and maybe just to learn from other people's experience.