Late 40’s, married male. CPAP user for about 6-7 years now. To be honest, it is 90% mental and 10% equipment. If mentally you are against using CPAP, convinced you cannot sleep with it, etc., then you will not be compliant. If you really want to be compliant you got to get your head around it and take control of your treatment.
That leads me to the other 10%, the equipment. Do a simple Google search and you’ll see there are a wealth of mask types/styles and manufacturers. There are also a wealth of different CPAP machines. Do some research, read online forums for CPAP users, and be specific and ask/demand you be issued the equipment you want. The DME will just try to give you their standard CPAP set-up. Personally I have a ResMed S9 Elite unit with a ResMed Airfit P10 nasal pillow mask and the climateline/slimline hose. The mask is incredibly comfortable and manages the exhale of air very well (no blowback of air into the face). The S9 and climate line prevents any condensation in the hose, and the unit is very quiet. I’ve tried full face masks and find them very difficult and uncomfortable. The Airfit P10 is my 2nd nasal pillow mask. My first was a ResMed Swift LT and I thought it was comfortable and easy to use. Then I tried the Airfit at the recommendation of my sleep doc and it was night and day improvement. The point isn’t to say you should get the Airfit, the point is everyone is different and it is a bit of trial and error to find the mask that works best for you.
As for the sleep study, you won’t sleep much and it won’t be because of the CPAP. You won’t be able to sleep because there will be 1,739 different sensors and straps wired to your scalp and body. Sleeping during a sleep study is very difficult. But they need surprisingly little sleep to get their readings so you’ll be fine.
Some general thoughts:
You’ll learn how to manage the hose, etc. I am a very active sleeper, I change positions many times a night. At first it was a bit of a problem but with time it became a non-issue. At first I found it helpful to route my hose up and over the headboard so it was coming from above and down to my mask on my face. This kept it out of the way of my body.
The first couple weeks I would occasionally get a very painful bloated feeling from air going into my stomach. Again, this goes away as you adjust to the CPAP.
If you get a nasal pillow mask, you’ll need to learn how to keep your mouth shut while sleeping. This isn’t hard to do but it just takes time to get your body trained to keep your mouth closed while asleep. Some recommend a strap but I tried it and found it very uncomfortable and not very effective.
Make sure your CPAP machine supports ramping. This feature will start the airflow at a fairly low level and ramp it up to your prescribed volume over a period of time. Although I probably don’t need ramping anymore, I still use it. I think mine is set to reach full volume at 10 minutes. You may want to start with 20 or 40 minutes. This really makes it easier for some people to fall asleep before the leaf-blower starts cranking at full strength. 
Get a humidifier chamber with your CPAP. It’ll make a lot of difference in your comfort level being able to introduce some humidity into the air flowing through your mask.
Good luck!
MeanJoe