No, it is not your job to protect the therapist.

During my sister's last fight with breast cancer, she sought out a therapist especially trained and experienced in working with cancer patients. This therapist worked with her through her treatment and through her bone marrow transplant until literally a few days before her death. The therapist was supportive and unafraid and unphased to discuss the pain and misery she was in. They discussed her fears and beliefs surrounding death. They even worked on her own funeral arrangements together in conjunction with her pastor and husband. (She literally had it all planned for us and it was beautiful.)

It was vital to her to have a therapist tough enough to handle those discussions so she could have the strength to face what she was experiencing and facing. Have you considered finding a therapist who specializes in the care of the terminally ill?