Twoper, I agree with your instincts! There seems to be a lack of sensitivity with how he replied!

Unless he has a good explanation, but still, what a strange thing to say. If I were you I wouldn't be able to trust him to understand either. Doesn't he know about your experience with harrassment?
Therapy is where you should be able to talk about anything, an environment of trust, so even if you switch to CBT you may still feel uncomfortable, and censor yourself. I hope you are able to figure out what's in your own best interests. Let us know what you decide/ any updates.