It is your choice, and you don't have to try it unless you feel comfortable doing so. DBT and group therapy are not for everybody. I don't think you should enter the programme until you have discussed it much more thoroughly with your T. (But this is my own personal point of view - I would not enter any kind of therapy that is not one-on-one, for any reason, so I am biased. But I know that it is perfectly acceptable to feel that that kind of thing won't be helpful. It's your decision, and you are in control of this.)