Prozac (fluoxetine) 40mg for headaches, back pain. Wanted to try stepping back down to 20mg. Dr. Wants to keep me at 40mg. Odd that doctor doesn't want to reduce?

Not really. I am not aware of any evidence that Prozac provides a benefit for pain. A class of medications called snri's is likely a better choice. Cymbalta (duloxetine) is now fda approved for musculoskeletal pain and it may be a better option. You should discuss this with your physician.
Maybe. If symptoms were severe in past and too risky to lower dose, I could see his/her concerns. If no significant issues in past, I would favor lowering dose, or eventually tapering off and see how you are at a baseline.