How soon should UHI go down

That is a very good point. Though I have heard plenty of good things about the CPAP I need to keep in mind that it is not a "miracle machine," because if it was, this forum would probably not be very active, as you stated.

I wake up probably around 2-5 times per night, maybe more on a really bad night. sometimes I wake up because I need to urinate, but other times I wake up just because. I can't remember the last time I slept through the night without waking up at all or even just one time. Last time I did that was probably 20 years ago (I am 38 years old).

I will take it as a good sign that I slept a lot better the second night with the CPAP than the first night though. after that first night I was a little concerned I would never feel comfortable sleeping with the CPAP, but after last night I have no doubt that I will get used to it. Now the only question is whether it will ultimately work for me. Time will tell.

Now you guys have gone and burst my bubble. I thought once I got this PAP thing all dialed in, it would solve all my problems. My house would turn into a palace, my car a Rolls Royce, my bank account (both pennies) into a fortune.

If the need to urinate is related to the OSA then that wake up very likely will respond and reduce or totally go away with effective therapy.
Nocturia is one of the symptoms of sleep apnea. Of course there are other causes for nocturia but if the primary cause is OSA..that will likely reduce or totally go away.
It was the first OSA symptom that I saw pretty much immediate results once I got my pressures dialed in. The second to go was the killer morning headaches. The other stuff like general energy levels increasing and need to nap during the day took a lot longer to reduce and the improvements were very gradual.
For a long time I simply had trouble getting more than 5 hours of sleep...that's one factor in feeling that energy increase and feeling the need to nap decrease..hours of sleep. Then comes fragmented sleep which is an issue I always battle because of the pain issues.
But as the hours of sleep gradually increased on their own I noticed that I wasn't wanting to nod off so often.
Now I normally get 7 1/2 to 8 hours of sleep and I take a bit hit in how I feel when I get less than 7 hours.

So you are telling me if I buy a lottery ticket tonight and use my CPAP serial numbers I am not going to win millions? What the heck did I take part in this sleep study for??

Pugsy, it's good to know that the benefits can be very gradual. Initially I think my expectations were too high as a colleague of mine who has been using a CPAP for years told me the first night he used it he woke up and felt a hundred times better. But as my doctor told me, only around 20% of all users experience that and apparently I am not one of those.

The one caveat to all this is that I am in the 90 day rental window in regards to insurance paying for this. So my doctor needs to ultimately make the determination in 90 days or less that the CPAP is doing something beneficial for me. Hopefully that will be the case and hopefully, just like you, I will experience good results over time. My #1 goal is to get rid of daytime sleepiness so I know longer have to fight falling asleep at the office, in movie theaters, etc.

Daytime sleepiness is sometimes a difficult symptom to eliminate totally.
There's just so much general stuff out there that affects daytime sleepiness. I stumbled on to the "hours of sleep" being a big factor in mine by accident.
Some meds that we have to take will cause fatigue and/or daytime sleepiness...and those are 2 separate issues that often get confused.
My sister was experiencing a lot of daytime fatigue and finally researched her blood pressure pill and found out that it causes fatigue in some people. She got her doctor to change it and said she noticed a huge improvement pretty much immediately.
The number of just plain wake ups will affect how we feel the next day. Frequent wake ups mess with the normal sleep architecture and we don't get the needed % of each stage sleep in the normal cycles. I have found that 2 or 3 wake ups (that I remember..we don't remember all of them) do not seem to have much of an impact on how I feel but when I have a bad night for some reason and it seems like I was waking up tossing and turning all night then I most often notice a decreased in how good I might feel the next day.

There's just so much more to getting good sleep and feeling well rested than a little AHI number. I think that some of the people who feel that overnight "miracle" likely are lucky and maybe they don't have some of the other contributing factors complicating things.
I know when I first started therapy I just KNEW I would have the miracle...but it wasn't meant to be. Initially my pressure settings weren't optimal and that took a couple of weeks to get sorted out (back then we had to buy special card readers to use the software so it took a little while to get it here) but even once we got the pressures tweaked other than the absence of the killer headaches and the nocturia...I just didn't feel the "miracle" like I expected to feel. I felt better but not as good as I was reading other people were feeling.
I knew cpap was working though...so I just accepted what I got and hoped for better and eventually I got there.
I still don't wake up feeling like running a marathon but at least don't wake up feeling like I just ran a marathon.
Given my age and broken down old body...even without the OSA diagnosis it would be extremely unlikely that I would be planning a marathon anyway.