There's no easy answer. Unfortunately, overall CPAP compliance is not too good. In theory, with great counseling and intensive follow-up and support compliance and effectiveness (two different things) can reach 80 to 90%, but in the real world, it's probably way under 50% long term. There are systematic steps that can be taken to improve compliance and effectiveness, but not everyone will be able to use CPAP or benefit from it. There are some people who are 100% compliant, but don't feel better, or feel even worse. Everyone's different. They is why treatment has to be custom tailored for the individual.
As part of my monthly expert interview series, I've interviewed respiratory therapists on this very important issue with more sessions coming in the future. If you sign up for one of my free reports on my website at doctorstevenpark.com, you'll automatically get notices on how to listen in on these free teleseminars. This month, I have a report on surgery. If you give me your email address, I can give you a link to the last one that I did on CPAP.
As you pointed out, expectations can affect CPAP success. In my experience, bus drivers and pilots who have sleep apnea are much more likely to benefit from CPAP, since their jobs are on the line.
I also question the success rates that you were told regarding dental devices and surgery. Dental devices have success rates up to 80-90%, but again, in the real world, it's much less. It really depends on the individual as well as the expertise of the dentist. The 40% success rate that you were told about surgery is a common misconception. This is if you only address one area of obstruction — the soft palate. Most people with sleep apnea have multiple levels of obstruction, and if you address ALL the areas appropriately, success rates go up to 80%. If you go further and widen the jaws, then 90-95%.
As you can see, with all the different treatment options, it's all relative.