Most people who are turning to more extreme and DIY solutions are doing so precisely because they've tried everything else. Outside of a small core of "natural cure" quacks, alternative medicine or "unproven medicine" is the last thing people try after conventional medicine and methods of symptom regulation have failed.

Combined, the anxiety treatment options you mentioned are probably about 80-90% effective, which is good from a societal outcomes perspective, but that still leaves millions of people with no other options.

Furthermore, many of the FDA approved medications for anxiety have side effects that can be more harmful than the original anxiety, and patients have far less experience coping with those second-order effects. A sufferer of extreme anxiety can have developed a toolset of partially effective coping mechanisms built over decades of experience, but be totally unprepared to deal with the disassociative effects and suicidal thoughts that come from something like Xanax.