Well, I presume where your T is headed with this is he's connecting the self-harm you're doing with your sexuality & probably from there to the sexual abuse you say you have suffered. In other words you're, perhaps subconsciously, cutting (?) yourself close to the genital area as a way of "punishing" the part of your body that made you vulnerable to sexual abuse.

I don't know that feeling embarrassed in this situation is unusual. I think everyone, for the most part, experiences a certain amount of embarrassment any time anything comes up that relates to the genitals. I don't know why that is. It just is. Perhaps there's some explanation for it in our evolution as a species. It's part of the reason we wear clothes even when we don't need them for warmth.

I don't know how many times you've seen this T. It may also be that he's just moving more quickly than you're comfortable with at this point. A couple of years ago, I saw a therapist for an initial interview. He began pushing me for intimate details right away. It made me feel very uncomfortable &, as a result, I chose not to continue to see him. It takes time for a person to feel comfortable exposing the private parts of her or his life to another person even if that other person is a therapist. Maybe your T is just moving too quickly for you. If you feel like this is the case, you can ask him to slow it down a bit. In fact, I would encourage you to relate to him what you've written in your post.