Pulmonary Embolism Support Group
By far the most common form of pulmonary embolism is a thromboembolism, which occurs when a blood clot, generally a venous thrombus, becomes dislodged from its site of formation and embolizes to the arterial blood supply of one of the lungs. Symptoms may include difficulty breathing, pain during breathing, and more rarely circulatory instability and death.

It can take awhile for things to start coming together. I had memory issues for a couple of months after my PE. A lot of people have that. Some attribute it to the anticoagulants. I think it's more just overall recovery. My memory issues improved over time even while on anticoagulants.
I would ask your doc about your breathing issues. It's not unusual to have some continued shortness of breath or chest/back pain, but if it's profound I'd mention it to your doc.
In all, hang in there and be careful with the meds prescribed to help treat your symptoms. I take the seroqual as a PRN-as needed. But I'm try to beat this without all the other meds as they are harsh on the body too.