To a degree the anxiety is par for the course at this stage and there is little they can do FOR you to alleviate that. This is not something that is possible to do in a comfortable and painless way. That's why you're in there doing it safely rather than doing it yourself at home and putting yourself at serious risk. I suppose their concern at the moment is a safe detox, and when you are able to think clearly enough, then they might be better able to counsel you. Trouble is, if we're not thinking clearly in that first week or so we are hardly in a possition to start challenging our old thinking and learning new thinking. Have yoy asked them what happens next in the process?
You could try ...
breathing exercises when panic attacks come over you.
reading and posting on here more
listening to recovery speakers on youtube (search on youtube for AA speaker) Recoveryaudio.org seems to be down at this moment, but worth checking that site later for speakers to listen to.
writing a gratitude list (and reading it back to yourself if and when self-pitying thoughts waft in)
Writing down ways that alcohol has made your life unmanageble / affected your life negatively - thinking about relationships / jobs / crimes / family & pets / money / self-respect and integrity (This will be really useful later when your AV is kicking in telling you a million and one reasons why drinking would be a fine and dandy choice.)
Maybe you will be able to do one or two or the things above. But, chances are that a lot of them might sound simple enough, but actually doing them will seem pretty impossible just now. If that is the case then that is why the rehab facility is just focussing on your detox for now. They see hundreds of people like yourself going through this, and probably have a very good idea of when its worth leaving well alone and when it might be time to start counselling. Perhaps you could adjust your expectations a little to include inevitable anxiety and discomfort as part of the process.
Stick with it. You're in the right place to get past the dangerous stages of detoxin order to get you Sober. Then will come the longer job - Recovery. And that will be work that YOU, have to do. Nobody can do that bit for us.
Wishing you all the best for your medicated detox, leading to Sobriety and your Recovery.
BB