Hi, from the UK too
It is really good that you're following through with the stress control group and really make the most of it! But I know what you mean about resources/the service/s for anxiety and depression, I'd just say keep chasing it up, keep phoning to "check up when it might be coming through" and add reminders of how important it is for you.
As for Uni I think it would be natural for
anyone to feel a real pressure when they're facing a bunch more lectures and especially with the way you've been feeling.....so I'd say that you're doing SO well in beginning to adjust, just keep reminding yourself of that!!
And try not to think about where it's all gong as much?? If you enjoy the subject/s let that be THE thing in your mind not so much the "next week/year"s.......
And by the sounds of it major achievements going on there (achievements can be measured in so many ways remember) allow them to give you more of a boost/confidence in what you're doing.
The headphones thing I can get, maybe make you feel a little vulnerable too?? But how about remembering a "catchy" (and positive

) bit of a song you like, something really simple, that you can kind of sing along to in your head if things are getting hard?? Maybe with a bit of practice???
As for the sleep I'd throw at it as much as I could e.g. aiming for a specific "bedtime" routine....warm milk/hot chocolate, a "winding down" period, "relaxation"/nothing stimulating beyond a certain time, putting a clock forward to trick yourself it's later, bringing everything forward in time to think that it's later than it is, having "soft" easy listening music on beforehand, doing something that "chill's" or even bores you- for some that can be reading something less "gripping".
It's always going to take time to reset the "body clock" but try not to let it make you anxious if it's not working for a while, sometimes a lot of patience and perseverance can help just a little.
The meds thing though: maybe/hopefully you can avoid them on the track you're going down, but if it does need to come to that then maybe explain your concerns to your doctor. You needn't necessarily have to take anything that strong, just something to help "take the edge off" while you're working on different things that can help. I suppose I'm just saying don't worry about it eventually getting to that point because that point may not be so bad. And the focus on/worry about that can just make things even worse.
Lastly, just got to admire your honesty with the Uni about how things are going for you, just keep it up. I'm sure you already know (?) it's nothing to be "ashamed" about.
Alison