I think he knows you're in therapy because you have things you're struggling with and one of the ways you've dealt in the past is to SI. I obviously don't know him but I think he'll be glad you told him and will work with you to understand why you SI'd and how you can find more useful ways to cope. But more importantly, you have a right to expect something like this from him. If he did yell at you, that would not mean you deserved it. It would be his issues. I suspect he'll be glad that you shared with him, though, and will help you.