Do people know they have dementia and that it's worsening?

Has your grandma ever had a cognitive test? That would make it clear what is really going on. Also, consider that she may feel depressed. Depression can be very vague and it may come and go. I'd check it out with a competent therapist.

Having her see her doctor would be a good start. If she doesn't have a PCP now, I suggest finding a geriatrician for her. Before the appointment get a note to the doctor briefly outlining your concerns about her cognitive health. Tell dear Grandma that this is a routine checkup, and that she can also tell the doctor about her moaning, etc.

Aches and pains and discomfort often accompany getting old. Sigh. Physical therapy may be doing wonders, but may also be causing some temporary soreness. I find myself saying "ouch" now and then, out loud. This is not only in response to hitting my shin on the coffee table, but also with a twinge from sciatica or soreness from strenuous cleaning efforts, or just being tired. (So far I've only done this when I'm alone, I hope.) Instead of saying "ouch" sometimes I moan a bit. I just did that sitting here typing, because of an itching at the base of my neck. I think if someone came up to me in ten minutes and asked if I was in pain I'd be surprised and say no. (I'm 73.)

I consider my moaning, etc. to be part of my old age. I have no idea what it is for your grandma, but I just want to point out that such behavior is not necessarily a sign of dementia!

Since you are concerned, seeing her doctor would be a good idea. Keep track of any other unusual behaviors to discuss with the doc.

This is such a complicated mess. Grandma was more or less OK until she started physical therapy. Her PCP thought it would be a good idea because he felt Grandma needed to move around more due to blood clots. I had also mentioned that she was having more difficulty getting up on her own and having balance issues trying to pull her pants up (she usues a walker to get around - mostly because she's afraid to fall).

I would say by the 5th session, Grandma was acting weird (crabby, whimpery, forgetful at bedtime). It was later determined that she had a UTI which has been treated. She hasn't had therapy in two weeks and she's still sleeping a lot. She's making more whimpering/crying noises, especially in the evening (sundowning?). But she's not getting up on her own to use the bathroom, she's peeing in her pull-on diaper. I have to tell her every two hours to go to the bathroom and she whimpers and tearless cries all the way to and from the bathroom. She whimpers and tearless cries and says she doesn't know why.

I don't know if the therapy did something to her, if she still has a UTI, if she's dehydrated, if it's her blood thinner (she started it in mid-February and she started acting strange mid-April), or if she has dementia and maybe it's worsened. Her doctor recommended Zoloft, but I don't want to put her on Zoloft if the underlying cause can be remedied without it. I just don't know what to do anymore. If it's depression, then the therapy triggered it and I don't understand that.

Her doctor recommended Zoloft based on a physical exam and talking to her?

I would give it a try. It takes several weeks to kick in. If you can take possible depression out of the equation, you may get a better sense of her cognitive issues.

"If it's depression, then the therapy triggered it and I don't understand that."

And you assume this, just because of the timing? How about the UTI triggered it? Or neither was involved?

Why are you so hesitant to comply with the doctor's suggestion? There really isn't any special reward for managing depression without medication.