I know how scary it is.

I recently had to change pdocs. I also had to change therapists before.
Besides being scary, it is indeed frustrating. You build up a lot of trust over time with your pdoc/therapist, only for you to have to start all over again. Grrr. You also have a previous pdoc/therapist to compare to, so you have a set of expectations in place.
I think those expectations definitely cause anxiety. They did for me. I kept asking myself, "what if this?" and "what if that?" Also, "my old pdoc did this and that. Will this new guy do this and that?" and "will he believe what i say?" etc etc
The best thing I could do was go with the flow because that's what I did when I had my very first pdoc appointment. I trusted my new pdoc's treatment, but with some skepticism. Basically, once our session was over, i would always google what he said to make sure he actually knew what he was talking about. Then I'd compare his treatment to my previous pdoc's treatment to assess how "good" it was. It helped me gain trust in him, and he took me seriously when I showed that I honestly reported my symptoms and mood changes to him.