Hi,
Like you I have a family history of depression ... My current medications are Fluoxetine (Prozac) and Buspar for anxiety.
I know what you mean about the personality changes associated with the medications. Last summer I weaned myself off the meds, and felt like myself for the first time in about two years. Thanksgiving brought all my triggers together for five days, and I came back on this board for support.
I have been through a variety of therapists, who gave me insights into the meat aspects of cognition, but not much relief. My family Dr. has prescribed my meds.
I find that journaling on this side of the site helps me get a feeling that seems objective on my situation, and I use a different name on chat. There are some very wise people on the chat side. I recommend the anxiety, motivation, and philosophy groups.
Maybe you can talk to people who found better substitutes for Effexor. They may also be able to help you find the "magic words" to get your psychiatrist to listen, or strategies to help you locate a better psychiatrist.
I live in the states, and am on my wife's insurance which covers my meds, but not visits to a psychiatrist or counselor. I last paid for the visits 10 years ago and found them to be unhelpful. The counselor kept telling me about her other patients with drug and alcohol problems, while the psychiatrist had no interest in changing my family doctor's treatment. Your description makes makes me think you live in the states too. We could probably rant about our insurance system, but it hasn't helped so far

.
My biggest stressor over Thanksgiving was my 85 year old father. He has decided that he no longer has type 2 diabetes. He and my mother visited from out of town. When they got home they tested his sugar and it was 445. He wouldn't go to the hospital, but took his pills, it was around 220 the next day, and my mother got him to consult with the Dr. I can only call my mother once every 3 days or so because she is so upset by his behavior, but there is nothing that we can do. He presents very well for Drs. visits.
I mention this as a kind of bona-fide. There are ten years of comments on the chat side, you may want to look at posts by the people listed as moderators for the different boards. Some of them have been helpful to me, you'll know which ones resonate with you. It may help you to comment on my problem ... or if you think it would help you could list yours.
Finally, I am glad that you are not feeling suicidal, or having thoughts of self-harm. I think that might reflect our experience with depression. The feeling is bad now isn't it? But not as bad as it was ... And I think there is hope in that too. Many of the comments center on the idea that we will prevail, even when we can't feel our progress in the moment.