To be fair, I'd say a huge majority of the population suffers from anxiety, depression and/or physical ailments at some point in their lives. But, people mostly continue to work whilst they're receiving treatment for all kinds of things they have, if it's possible to do so, because most issues can't really be fixed in the space of a week or two imo.
I understand you have anxiety, but how do you know you'll feel better with it by having another week off? If it's as severe as you imply, your anxiety won't suddenly stop with a week off.
Your best bet is to attend your therapy session (explain to work you need a couple of hours off if you can't rearrange your appointment for after work ), explain to your manager how you're feeling so that they can see for themselves if you suddenly feel panicky, and continue to work through it if you can. Having more time off could put your job at risk.
Also, ask yourself, if you didn't get full pay for being off work, would you make sure you went in?
If the answer yes, then it does seem that you want to make the most of having the time off, because you know you won't lose out financially, and that deep down, you are able to work,