I don't think a client has to work so hard at dealing with the therapist - especially not this early on. I don't think it has to such a big deal to try out others or just move on. If this guy is not working out, it is not your fault and you get to find another who might work out better. Don't waste time and money if it just does not feel right. I am a big believer in trying out a lot of them. Also - you don't have to explain yourself or apologize.
From what I have seen, one can always go back if you can't find a better one.