beginners luck

The experiences with the CPAP in the sleep lab and my first 3 nights at home were without complaint.
I had the best sleep I'd had in months. Now, I seem to be anxious and my sleep is not as good.
Is this considered "normal" during the adjustment period?

Yes. Lots of possible reasons why, but that was my experience, too.

Some of us experience a brief "honeymoon" with cpap, where our benefits are intensified by the combination
of better sleep and more oxygen with residual stress hormones in our system from when we were untreated.
As our bodies adjust to lower levels of stress, we produce less of the stress hormones that kept us alive.
I felt it was like a mild withdrawal from the hormones, and it went away after a while.

Treat the anxiety