I don't think you failed at all.
He's just suggesting your dysphoria may be rooted in your depression and lack of self-esteem. Which may or may not be (most likely not).
Its pretty good idea trying to solve issues like low self-esteem or depression as much as possible before or at least at the same time you transition.
Besides, parents usually need some time to grasp things and to figure out. Just give time to him and try to explain and make things easy to understand. Share your emotions ans feelings, and make easy for him to empathize with you.