In my experience, my therapist has always asked me a lot of questions about where I do it and how deep. She asks me if I feel safe (meaning that I don't feel the urge to cut really deep or in a place that could be dangerous) and tells me that I need to tell her if anything changes.

I believe that in most places, the only time a therapist is required to tell somebody is when they determine that you are in immediate danger, but I'm not 100% positive. Maybe you can ask your therapist what her limits are for determining that?