For some people it takes months to feel any different.

For some people, they don't feel any better but it improves their health.

Did you examine your numbers at all in something like OSCAR? You could get a good idea of how many events you were having at night, and if the CPAP was improving it.

Even if you aren't feeling any better (yet) it could still be helping. You could also have multiple things that are causing you fatigue issues, and maybe fixing only one of them wasn't enough... that doesn't mean that one wasn't also important, though.