My last T always took notes but my current T does not. But anytime I feel unsure about stuff my T is doing, I bring it up in therapy and they have always been willing to elaborate. Might feel better to ask why he doesn't take any notes and to mention that the intense gaze is a little uncomfortable? T should be okay with that so long as you convey that you mean no disrespect and are just trying to get the most out of your sessions