One of the nice things about CPAP therapy is that you are breathing filtered air. So dust, pollen and other allergens should be filtered out of your air as you sleep.
Are you using your humidifier? I find that using my humidifier helps keep my nasal passages clear during the night, and even helps clear them up when I first put on my mask. Unfortunately for me, I seem to be sensitive to the "damp stuffy" feeling of humidified air against my nose. I much preferred the feeling of cool air as I inhaled. I've been working on it, and seem to be at the stage where now I can tolerate a moderate humidification setting that seems to be enough to keep my nasal passages clear for the entire evening. It's still irritating as I am trying to fall asleep, but I seem to be able to ignore the irritation, at least based on my last week of sleep.
Going back to your "sense of failure" for a moment, let me tell you what happened to me. Firstly, my sleep apnea had progressed to the point where it was seriously impacting my waking hours. I would regularly fall asleep at my desk at work in the afternoon, and I was often down right dangerous when driving. My alternative to CPAP therapy was slitting my wrists!
As I mentioned, I was sensitive to the warm air on the outside of my nose. When I was getting my first mask, I tried various nasal masks (I didn't like how nasal pillows felt, particularly at my pressure), and found that if I took a large size rather than the medium size that would be my "correct" size, that feeling of stuffiness was decreased. Unfortunately, because the mask was theoretically too large for my face, the fit was never good, and I was forever fighting with leaks. For the first week, I was constantly adjusting and tightening the straps. Every time, they felt fine when I tried the mask on while I was awake. Finally one morning, instead of just tightening the straps (again), I re-jigged all the straps so they were evenly tightened. In doing so, I ended up tightening them even more. It still felt fine when I tried it on while awake, but that night, I was simply unable to tolerate wearing the mask while trying to fall asleep. I would try for a few minutes, then have to rip the mask off again.
Not wanting to go down the slippery slope of not using my CPAP "just this once", I went downstairs and watched some TV to try to get more sleepy. This went on for the entire evening. I ended up getting no (zero) sleep that night. The next night, even though I was practically dead tired from lack of sleep, the same thing happened. At around 4AM, I went downstairs and tried to catch at least some sleep on the couch, propped up in a sitting position to try to reduce my apneas. That got me about 2 hours of very poor sleep.
This was probably the most depressed I've ever been. I had successfully used the CPAP for a week, and now I was finding myself intolerant of it. First thing in the morning, I arranged a meeting with the folks that provided my machine & mask to see if they had any useful advice and/or therapy options I could try, since stopping CPAP therapy was not an option. Sadly, the first opportunity was the day after.
I started researching on the Internet to see if there was anything I could find. [ That was my first introduction to this forum ]. And I found a couple of posts that warned against over-tightening the straps of your CPAP mask. I checked the manual for my mask, and it also had a warning against over-tightening. Then I remembered the re-adjustment I made that one morning. I went back and loosened the straps as much as I could while keeping the leaks less than extreme. And I managed 4 hours of sleep from 8am to noon. And the next night, I managed an entire nights sleep.
At my appointment, I traded in my current mask and got one that properly fit me, and I have been using that mask ever since. Since then, I had a couple of nights of poor sleep for various reasons, such as nasal stuffiness and what I am sure is anxiety from my remembered experiences, but seem to be over that now (knock wood!!).
So you're not the only one that has troubles adjusting to CPAP therapy. I daresay most everyone here has some sort of similar story. Except, of course, for those freaks of nature that post how they took to the mask right away.