I would definitely ask for the gel because, in my experience, it works better. It is more flexible too because you can adjust the dose to suit your needs.
If you have had problems with womb lining, it is important to have regular scans but I can't see why this would be a problem with the NHS. Have you been using the Utrogestan orally or vaginally? It is much more effective at lining clearance when used vaginally meaning you can take less of it and get the same result. When taken orally, there are more side effects and about 50% of it gets lost in your digestive system.
If you suffer with anxiety then too much progesterone is not going to help you. The feelgood factor comes from the oestrogen and I think you would feel better and more in control with the gel (you might well find you need an extra pump as a booster every now and then) and I think you would also benefit from using less Utrogestan vaginally.
Professor Studd has spent his entire career treating hormonal depression and this is his tried and tested regime. I truly think you would benefit from it.