Unless you are court ordered you don't have to see a therapist. Sometimes though psychiatrists insist on it or they won't do meds. If you feel worse than you did when you started therapy, I think that is a really good thing to talk to your therapist about. If it doesn't improve soon I think you should re-evaluate the therapist.

I think it does happen sometimes that people feel worse after starting therapy. Sometimes this is the therapist or the therapist-client fit. Sometimes it is because you start thinking about things that you have previously been avoiding thinking about. That can actually be beneficial in the long term, even if it doesn't feel that good at the time.

I am curious though, is this your first time in therapy? Did your current therapist give you all of those diagnoses?