You should consider getting an Wellue O2 ring. This is something you can use to monitor your oxygen saturation throughout the night. Use it with the CPAP and also otherwise. If your oxygen saturation is better with CPAP - you know that it is working. You will eventually feel better.

The main thing about CPAP is that, and imo almost everyone gets wrong, is that you need to titrate it. CPAP is sold as an Automatic Pressure device, but in practice it doesnt work like that. You almost always need to set it just 1 number below and 1 above your required pressure - more like a fixed pressure device. And getting it working correctly - with all the mask combinations, leaking issues, pressure calliberation, supporting gear like mouth tapes and neck bands - can take months. It is incredibly hard - BUT - it is worth it. The best resource for me has been the reddit to get this right.

The key is to track your saturation everyday with all the small tweaks you make and the only way to do it is using something like the O2 ring.