It seems the mood symptoms are the hardest to treat and last ones to resolve with HRT, unfortunately.

I have the same experience, physical symptoms have pretty much gone but I'm stuck with the anxiety, which is just not letting go.
In my case, I do realise it's also partly because I'm paying so much attention to my mood and constantly assessing how I'm feeling. I should be focusing more on other things as I realise every time something else truly catches my attention, I forget how I feel and then realise that I actually have felt better during that time. Its just that now its already been so many months with this struggle that I've become accustomed to this, which is horrible. Its like almost being addicted to the constant self observation. I wish I would learn to let it go and stop paying so much attention, I'm sure the symptoms would clear on their own time.
Do you have a timeline agreed with clinic how long you should wait for improvement with the current regime? Another though just came to my mind: are you sleeping well? I find it helps so much if I can get a good night sleep. I've understood that if estrogen is at the right level, we should sleep well. I'm clearly not yet there as I wake up most nights somewhere around 3-5 am, which I think is a classical sign of low oestrogen. If I'm lucky I'll fall asleep again, but even in that case, its not yet the same as having a full nights sleep without interruptions. Wish I'll get to that point eventually.