Another explanation for the headaches may be that the humidity settings are not right. That's a user comfort thing, and not prescribed by your doctor, so feel free to adjust it. When there is too much humidity, it gives me a headache and some nasal congestion. Your mileage may vary, tough, some people feel better with more humidity, some with less. I suggest you either increase or decrease your humidity setting one "notch" and see if you feel better or worse. Don't make more than one adjustment every few days or so, or you'll never sort out WHAT helped or didn't help. It may take some tweaking to find your "sweet spot" for humidity.
As for the claustrophobia, hopefully your new mask will help. I grappled with a lot of claustrophobia at first, starting in a FF mask too, but even in less obtrusive masks at the beginning. What I learned later was that it was the APNEA that caused the anxiety that caused the claustrophobia, and once I got improved apnea the claustrophobia went away.
I had a few tricks to help. First, if I felt like I had to rip the mask off to breathe, I'd make myself count slowly to 10 while taking deep breaths before taking the mask off. After a while, I was calmed down long before 10 and didn't need to take it off. Secondly, if I ever removed the mask in a panic, the rule was I had to put it back on. No sleeping without the mask.
It took me three MONTHS to reach my ultimate goal (you're way ahead of me!), which was to simply and without much thought put the mask on and go to sleep without any drama or fanfare. You'll be there soon. And one morning you will wake up after a good night's uninterrupted, fully oxygenated and calm sleep feeling calm and at peace for the first time in years. Then you will know why we are all here. Shhhh, don't tell, or everyone will want a CPAP.
