Again, I don't really see what the big deal here is. If I was your physician, I wouldn't give out a referral either. Especially if you call me and say you need a referral to get some steroids. That's my license on the line; in the off-chance that you're wrong, I could easily be taken to court for making a judgment call without physically assessing you myself. How can I defend myself in that case? It's an entirely lose-lose situation for me. I wouldn't care if you were an attending or a world-renowned pulmonologist with years and years of experience! I would still direct you to the ER. And I would say the majority of practicing physicians today would do the same. It's simply not worth the risk in the current medicolegal environment.
I think you're over-analyzing this situation and taking things a bit too personally. Relax. If anything, he was probably trying to compliment you with the "medical training" comment, but worded it poorly. Could he have communicated this better? Yes. Do I think he was intentionally trying to insult you? Probably not.
Hope you're feeling better.