It is very hard to have depression and anxiety, and it is very hard to live with somebody that suffers from depression and anxiety too!!!
He doesn't have the right to terrify you, but, perhaps, he doesn't know how to deal with the depression and anxiety you are suffering ( and he is too!! through you and his love for you).

I think it is a good idea for him to get help in regards to learning how to live with somebody with such issues. Talk to him about educating himself regarding your diagnosis, and even buy books about relationships and anxiety/depression.
He needs tools to deal with the stress.

You evidently love each other, and relationships are hard, even when they don't come with "extra features". Trust his love, but remember, it is always a little better with we go and look for tools to help us deal with the day to day challenges.

Lots of love to the both of you.