Gosh I can relate to this anxiety far more than I'd like. I'd be worried out of my mind too. But, it's really good that he's got a job and progressing with uni plans. It's sadly very normal for a lot of young people to dabble. And yy to pp that cocaine is often rife in villages because there's little else for young people to do.
Absolutely second finding another therapist, maybe one who specialises in d&a issues and/or relationships/family therapy? Also CBT for your anxiety. I would also speak to your gp as some antidepressants are really good at taking the edge off.
Just try as hard as you can to keep the lines of communication open. Have conversations about mental health, and that everyone is different in how drugs affect them. One minute everything can seem fine and enjoyable but can take a big downward spiral.
Talk to him about midweek come downs, hangovers and how as you get older your body is less resistant to bouncing back. Tell him to look out for his friends too.
Let him know you're always there for him if things take a down turn, but that there are ground rules and consequences if things get out of hand.
Tell him that if his behaviour changes or if he stops going to work because of the after effects, that's a big line to cross and he'll need to quit if he wants to stay living at home. Ditto with the gambling.
Does he pay you rent? Does he help around the house? Can you put the rent up so he has less disposable income? (You could put this away in savings for him without him knowing). Can you use the amount of rent he pays as leverage? So if he causes you strife the rent/amount he has to do will go up?
Does he have any other hobbies or interests you can support/encourage him to take further?