Jean, I'm sorry that you have been struggling for so long to reduce from the high doses but I'm surprised you were prescribed as high as 40mg for a diagnosis of 'just' PMR. Such high doses are reserved for those diagnosed with the linked condition, GCA. However, as you mention that you had a "sensitive scap" prior to the PMR diagnosis, then it does sound as though perhaps your GP suspected GCA at the time.
As you mention you have recently reduced your steroid dose, albeit slowly, then you may be right in thinking that the new stiffness you describe in your neck/shoulder area could be due to steroid withdrawal, especially as you say this has improved in the last couple of days.
I'm wondering whether the "stabbing head pain" could be neuralgia as that is exactly how I would describe pains that I have experienced in the past whilst on steroids for PMR/GCA. Have you been out in any cold winds? During my GCA days, the slightest puff of wind on my head/face would set off these neuralgia-type stabbing pains through my head, face and eyes. In fact, even some drilling of a tooth set off severe nerve pain lasting about a month at one stage which had never happened before so I put it down to the inflammation of GCA resulting in a susceptibility to such pain.
Yes, as Eileen has already said, GCA can and does affect the larger muscle groups anywhere in the body, and 'cement legs' is a term many of us have used in the past. Walking through treacle is how I often described my legs!
It really does sound as though since the very early days of being advised to reduce too far and too fast has got your body into a yo-yo situation with the steroids, making it difficult for you to reduce. Having said that you are still in the early days with PMR (and possibly GCA), and flares in the disease can unfortunately be very common in the first 12-18 months.
I don't think you are being paranoid at all and I can understand you feeling nervous. However, do try not to panic as the stress won't help. You say you haven't experienced any visual problems, so just remain alert - any hint of anything untoward with your vision then straight to A&E. Meanwhile, a heated pad on your neck/shoulder area will help with the stiffness there - I spent many hours with a large electric heated pad on those areas (from Argos) and found it very comforting. Also keep your head well covered when out in the cold. Also, if you haven't had one, do ask for a Vit D blood test. Severe deficiency can lead to body pain, and a high dose course of pure Vit D3 (Colecalciferol) will be neede - the usual Calcium + Vit D prescribed alongside the steroids will not be sufficient to improve any severe deficiency.