I've had a small pericardial effusion since January. I have absolutely felt dizzy. I was told it was due to low blood pressure which was already low before the PE. Apparently, the PE can make it even lower.
As for the anxiety... having something wrong with your heart can be upsetting! So yes, I would say PE can make a person anxious. For me the chest pains mimicked anxiety.
If you're doubting your doc, I would get a second opinion. Good luck to you.