I think for your OCD/anxiety/self harm, that CBT/DBT might be beneficial for you for finding strategies to deal with symptoms.

Is trauma (any type) part of your history? I'd say that a psychodynamic or relational psychoanalysis (modern, not your 5-day a week old style) type of therapy would be helpful to understand your experiences so that you can move forward with your life in a positive way.

CBT/DBT will likely not focus on why you do certain things, but instead give you coping mechanisms to deal with things. If you want talk about your history/experiences, you'd do better in a psychodynamic/psychoanalysis route.

In some ways, CBT/DBT deals with the surface stuff. The dynamic/analysis route goes deeper so it can seem like you sometimes struggle more as you come to understand yourself and your experiences. It's difficult to do this work if you're already in a deep pit of despair.

Hope something of that makes sense!

BTW, I'd be wary of any therapist who goes against what your Pdoc is suggesting. They should be a team working together for you, not making it more difficult for you.