_zombie's right, I think - it's good to have high expectations of a student (I think there's been research which shows that high expectations can actually improve performance), but if he's got too high expectations of you, I don't think that will help.
It's good that he's giving you help, because it sounds like he really believes in your abilities, which is positive. You don't need to be embarrassed about struggling - everyone struggles sometimes, especially when there's a lot of pressure, and there's nothing wrong at all with asking for help if you need it. Like you said, some aspects just haven't 'clicked', and if your tutor can help you to find a way of getting those aspects to 'click', then that's great.
But try not to let your studying take over your life - you need to have fun and relax as well. If you're constantly trying to study something you don't understand, it's more likely that you'll end up becoming frustrated and demotivated. Try having a break from the stuff you don't understand something, and then coming back to it a bit later, maybe?
Take care :) xx
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