Tullah, the only thing you can do is figure out whether or not this relationship is satisfying your needs.
I guess it comes down to a few different things: the frequency in which he shuts you out, the frequency he's getting drunk - and whether or not him refusing to seek help is acceptable to you.
While it's kind of you to want to be there for him, there's not much point in it. He doesn't want your support and you really can't do anything for him anyway. It would be far more appropriate for him to call for professional help when he's having anxiety issues....but he sounds like he won't do that either.
Out of curiosity, if he won't seek help - who is prescribing his meds?
Never regret anything that has happened in your life. It cannot be changed, forgotten or undone. So, take it as a lesson learned and move on.