I soooo wish people didn't get so worked up over this.
You pay your Dr's to perform services for you, just like paying the mechanic to fix your car. If you take your car to Joe's fix it, with a issue, and Joe says I can try, but not make any guarantees, but it will cost you. You give it a whirl. If Joe doesn't get it fixed, do you back to Joe and say can you try doing the same thing you did before even though it didn't work?
I would hope not.
For the same reason you should not continue to see a Dr just because you have seen him before, esp if he has not been effective in treating the issue you are seeing him for.
A Good Dr will always welcome someone else a shot at fixing a problem they cannot solve. A BAD or inCompetent Dr may react poorly. If they do, the just know that you are making the right choice.
Many many many Drs esp Specialists are very very busy, and overworked already, and losing one patient for whatever reason will not make a hill of beans difference to them.
He will know that you are switching when you sign a ROI anyway.
The cool thing to do, is send him a card, saying thank you for all you have done, we still seem to be struggling with making progress in treating X, therefore we are going to try a different approach. Please know that I will come back to you if we are unsuccessful with this new approach.
The MD will respect you, and you will not have burned any bridges.