Wow, congrats on the telling him you prefer a woman therapist. It is understandable, and within your right.

He sounds like he did his job and is asking the right questions. Don't let yourself decide what his facial expressions mean, you only just met him recently. When in doubt - ask.
I make a lot of facial expressions and even my husband who I have known daily for over 8 years responds incorrectly to my facial expressions often.