I see what you mean and you do have a valid point. It doesn't have to be that way, though. I started my therapy when I was studying psychology (working toward my B.A.) and I found a lot of my ideas of what therapy should be were false. In the beginning, I felt the pressure of social stigma (almost) as much as anyone else in therapy.
Later, when I started my own training, i knew more about therapy, but still felt nervous when I worked with a new therapist - even for just a session or two. Not to mention when I worked with someone I didn't know at all before, from a different school. I really didn't know what to expect with her type of therapy (even though I had studied some of the theory) and I felt very vulnerable too.