I am undergoing shockwave therapy, and it has been painful f

I am undergoing shockwave therapy, and it has been painful for me. After the third session, I had to go out for three consecutive days, and I experienced pain in my leg. One of those days, I wore a compression sock that I had just bought, but it turned out to be tighter than needed, which caused congestion and increased pain. My doctor prescribed anti-inflammatory medications. Is what happened concerning? And should I stop the shockwave therapy sessions?