CKLD - has jumped in before me with good advice but here are my thoughts:
OK - so this is classic overthinking - something we are all prone to. The peri stage is tricky, hormones will be fluctuating so ups and down are normal. If you have only recently started HRT then it may take some time for things to settle. All progesterones will give some side effects, whether HRT or a PCB - I'm afraid it is UNREASONABLE TO EXPECT TO BE FEELING GOOD EVERYDAY.
If your anxiety is hormonal, then it will take at least 3-6 months for the HRT to bring about some positive change. Dealing with menopausal anxiety takes a variety of strategies and HRT is just one of the strategies needed. CBT, Mindfulness, good diet and exercise and often small lifestyle changes can make a big difference. Many women do need an AD/SSRI alongside the HRT to really sort the anxiety.
In the short term perhaps keep a mood diary so you can discuss this with the specialist when you see them - this may help to identify more what is needed. Chopping and changing things, in the hope there will be a quick fix, is simply not going to happen - you need to stick with things for long enough to really see if it is helping or not. DG x