I find it interesting. A little unusual, but I am quite eccentric myself and don't find it disturbing at all, based on the description it's just a mental exercise. It would definitely pique my curiosity.

I think the most important thing is how the OP reacts to it. If it's too much/weird, I would tell the therapist how I feel about it -- even just that might be informative. I would also ask what exactly the purpose of the exercise is even though it seems quite obvious.