That seems WAY out of line for him to say....

That only motivates you to either:
A) Lie to him about it (preventing you from getting help from him)
B) Stop SH when you are not ready which could cause you to do worse things.
C) Lash out
D) Cave to him and make you feel that you have no control.

YOU have to be the ultimate judge, but I think you need a "better" therapist.

And all that for SH three times in a week.?.?.?
I have done every day.... I have done (literally) over 5,000 cuts in a single day - and NONE of those were enough to have me locked up. Your doctor seems to be pushing you very hard.