I think, if you want to explore a different therapy approach in conjunction with your current therapy, that's okay, as long as you communicate that to both T's and everyone works as a team.

There was a time when my T suggested that I might want to consider CBT. It's not something she does, and suggested that she could recommend someone I could work with in conjunction with the work I was already doing with my current T. I declined, as CBT is not something I thought I'd find useful. But, my T was very clear that if I did want it, then she and the other T would work as a team with me.