Can I please ask you to just STOP with medicine being a last resort?
Especially with mental health, many (I want to say all) patients need to start taking the medicine to get to a place where they can start exploring the problems.
I would also point out that I'm not surprised he is embarrassed by how he feels, given your approach to mental health.
The GP practices are dealing with an enormous surge of children and young adults struggling, and that was before covid.
Give him credit for going, and stop wondering how you can"fix" him, and open up a line of conversation where he feels he can explore his feelings with someone, preferably a professional.
A very wise GP once told me that using therapy alone for mental illness was like trying to treat type 1 diabetes with diet.
Once you are taking the insulin, a good diet will make all the difference.
I'm not saying every problem should be medicated, but in this instance I think they made the right call.
Setraline is a good 1st line approach. It may not turn out to be the right thing for him, but everyone is different. If he doesn't improve, or starts to feel very unwell, incisor he needs to check with the doctor. For god's sake, don't say"well they're clearly a bad idea", he needs to try something else.
Meanwhile, it's not unusual for young depression and anxiety to be the result of someone finally losing the ability to hide/ mask neurodiversity.
I'm not immediately saying your son is autistic, and undiagnosed, but just pointing out that it's a common issue. Maybe have a look at some up to date info on neuro diversity and anxiety etc.