It's hard to judge this hearing only one side of the story, but, you should never start an approach until you're ready. If you had a real Capt in the left seat, "unable" would be an incorrect answer. That's the problem with two F/O's taking a checkride together. I've even seen this at my level and I don't like it.

ATC is there to help you and if you need more time, then you get more time. In real life, ATC doesn't say to an emergency aircraft "unable delay vectors". In real life, it's "what do you need", or "how can I help". In fact, if this were recurrent training, what you experienced could be considered negative training and could cause you to rush unnecessarily if it happened in real life. I mean, what if you were feeling rushed in real life and let ATC "fly the airplane" for you cause that's how it works in the sim. Bad deal....