PCP's do very basic screenings for these things and the screenings are not very well tailored to neurodivergence. On some level, I think as neurodivergent people we will answer the questions a bit too honestly and sometimes we're overly self-aware in how we communicate difficulties which can seem like a bigger issue. PCP's are generalists and they often aren't offered enough resources due to insurance or office rules to do something more tailored to any individuals unique situation.
That said, it's still good for them to do the screenings and bring it up since it's always worth looking into if the signs are there.
I don't know what your situation is or if you are getting ADHD treatment otherwise, but you might find that (if you are suffering from depression) it'll be more obvious to you and you'll find treatment for it and/or anxiety more helpful after getting ADHD-specific treatment started.
I also bounced off of depression and anxiety treatment before I'd started stimulants a few years ago. I started an SNRI a few months ago for depression symptoms (and as a symptom reducer for migraines, interestingly enough) and it became very clear to me that I WAS depressed, once the meds started working. I realized how much stress I was building up and holding onto, as well as how often I fell into mental rabbit-holes of negativity. The SNRI basically helps me hit the pause button on those kinds of triggers well before things build up.
If you haven't considered it yet, try looking for a pyschiatrist. I've been working with a PNP (without having a current PCP, mind you, but my insurance doesn't require one), and it's been a breath of fresh air to focus on mental health needs without the doctors office baggage.
Personally, I'm not sure a diagnosis of Depression or Anxiety fits me per say, and but my next step on the treatment journey is to find a therapist to narrow down and/or identify the root cause, and build better skills outside of meds.