Yes, I have and your Doc is right....Panic attacks, at least for me. I thought I was dying too. I never had a panic attack or suffered depression befor MS, so I know darn well, it's caused by MS.
Ask your Doc about Buspar or Paxil, they are both good for panic/anxiety as well as depression. I'm on Prozac now, but if you are having Panic Attacks, you don't want Prozac yet as it has a bit of an upper effect.