This is one lapse in the mental health industry. They just slap the anxiety or depression or stress diagnosis early on without digging deeper. Or maybe because the science is not that vast at this time? It's only been a few years since mental health was considered a serious matter.
I so know how you feel. I feel the same way with my son, he has ASD/ADHD. He doesn't other kids but he self-harms. He's not on meds but from what I have seen with other kids in his OT center, meds are helping.
Have you brought your child to a different specialist?