CPAP Question, kindly weigh in?

Hi All,

Asking this question here because I think Covers is a great resource
and unfortunately not all of us in best health here as well and
have medical conditions, experience, etc.
Anyway, been getting periodic shortness of breath for year and in my late 40's. Not obese but tall and husky and moderately athletic.
Anyway, nearly 2 years ago had the full cardio workup, stress, echo., ekg, blood, and all checked out fine. The shortness of breath got a bit worse on occaision but I've had bad GERD from years ago and drank maybe too much caffeine lately and might attribute it to that. Still I went again to a cardiologist again and he said he thinks my issue might be sleep apnea associated and I do snore some as well. Anyway, the cardio guy said he'll do another stress in near future if I really wanted but referred me to sleep specialist.  Went just a few days ago to sleep MD and he looked down my throat and said I have "crowding" pretty bad the way soft palate and stuff are and wants to send me now to a sleep lab for sleep study. I'm like :-O?. I research this and am not sure what to think?! I hear that if you snore and don't breath right you can drive yourself of proper O2 at night and not expel CO2 correctly and you are tired in the day, etc? Others say this could aggrevate deep in lungs and even cause some pulmonary tension as such.
Really not sure WTF to think? Is this stuff legit? Anyone use or know of someone that has use these machines? Do they work?
Are there natural remedies for this?

I am a bit confused here as you can see and I would very much appreciate any and all feedback here.  

It;s interesting because Dr. looked down my throat and

said the back of my throat is "crowded" and makes me a candidate

for sleep study, hmm?

Then he said that he has some very light patients that have sleep apnea, Don't know what to think?

I thought about trying the device to see how I feel after it?
I did lose nearly 10 pounds and exercising aerobics nearly everyday; I also CUT OUT COFFEE and shortness of breath totally went away, hmmm??

Insurance company denied sleep study based on some b.s.
Aetna PPO, (guy charge a fortune also)
Provider/Dr. said will appeal.

guy = insurance company since I put profanity in front

of insurance company word.