REM sleep, and the alarm clock

I am just curious if I am the only one that this happens to, and if it is something I should be concerned about.

I notice that if I awake naturally, or if I wake up to an alarm when I am not in REM sleep I am great, energentic, and clear all day long.

But if I am pulled out of a REM state by the alarm, and thus not able to get back to sleep to wake up from not being in REM, I am a wreck all day long, fuzzy thinking, headaches, and just feeling like I didn’t have the CPAP on at all the night before. I mean an absolute and complete mess.

Am I the only one this happens to, and should I be concerned?