No that's really pretty much what happened. I am talking about the Spanish system though which is apparantly very different.
But it amazes me too, because some people in my flight school definitely are less confident than me yet they are on the integrated course!
I understand my situation is strange which is why I want to get lots of different viewpoints and thus put it on PPRUNE.
Reading the report later, I found out that after totally passing the anxiety/depression test without any issues, it was later in the personal interview (where thus my self confidence was measured) that I failed.
I now understand from my own research this part would not feature in any UK exam and this was even confirmed by friends from the flight school.
Also remember that in Spain the entire exam is carried out in a totally regular hospital which means the same examiners would also measure people who have absolutely nothing to do with the aviation world.
Very much off the record and again I cannot reveal too many details, I also later heard from fellow flight school students that this hospital had a record for being really tough on the physchological part and asking strange unrelated questions. I won't reveal what questions for privacy reasons.
Some people from my flight school did comment that the UK system is totally different.
Thank you all for the advice! The only other people I know from the aviation world are my father's (who is not a pilot) friends who are mostly senior long-haul captains with years of experience, so although we had some great conversations, they had a harder time offering me advice on this specific flight school issue.