I don't think there is anything at all wrong with changing your mind about a transition session or even about terminating.

But recognize that you might just be in a period of adjustment and there may be other options, such as the psychiatrist or a new therapist who can provide what you want and need. It's hard moving from a known to an unknown, and it can make the known more appealing because it's familiar. Keep your eye on what it is you want for you!