Edit: Looks like I fell for bait. oh well. Still gonna leave my thoughts up cause frankly I know there are people who have the mindset as the OP.
No.
Two Reasons:
1) There is little evidence that "Trigger Warnings" actually help. At best it has no added or negative benefits. Some evidence actually points to the opposite, that it makes it worse.
2) Youre not the only one with a medical diagnosis for said things and its patronizing to be given a warning for viewing content. Having a bit of a "Oh my god that was a bit horrifying" is not a bad thing. Its part of life, but rather than accept that youre asking that you be warned so you can avoid it all together. If you have a serious issue with viewing certain cutscenes in this game that are a bit more on the horrifying end of things, then you need to work harder on your therapy. This isnt like going to see a jump scare slasher movie or something there of, and most of the content here is incredibly tame by most metrics of horror.
Now before someone jumps down my throat and says "Well be compassionate and empathetic" Im gonna flat out say Ive got a similar diagnosis and you just got to "Toughen Up." I dont want trigger warnings and the like cause it breaks flow of the narrative and, frankly, ruins the surprises and moments of the game. Part of the joy of Edda's thing is the thrill factor of it. Like riding a roller coaster with a sudden dip when going in a dark tunnel. Bit frightening, but also is that little bit that adds flavor to the ride. If they put a sign up that said "Beware of the dip in the dark tunnel on the ride" I either end up overthinking it and stressing myself out in preparation for it, or lose out on the experience of the surprise of it because Ive been told about it before hand. It isnt healthy in either case. Life isnt going to have trigger warnings. You need to learn how to manage that properly instead of hiding from it.
You got a medical diagnosis for anxiety. Alright, a lot of people do. Rather than demanding that you need a "Warning" for distressing things, talk with your therapist on working on how to manage unexpected stressors instead of demanding that the game insulates you from content that may or may not be a bit sad or scary. This is literally toughen up a bit. And if youre anxiety is that impeding, that heavy handed, then you have a lot of work to do for treating and managing it and maybe playing games like FFXIV isnt a wise choice at this time.