Maybe it's just not the right time, modality or therapist? Or maybe you need more time or you need to break down your objectives into smaller parts.

You haven't failed. You're just not where you want to be yet. Sometimes learning "skills" like DBT or whatever has to take a backseat because you need something else more right now. Or maybe DBT isn't for you.

That doesn't mean you should not quit. I don't know the answer to that. Before quitting it might be a good idea to talk to your T about how you're feeling. It might be a worthwhile conversation. I hope things start to feel better soon.