I am of an opinion that if you don't allow yourself to talk about anything in therapy then therapy is just a waste of time and money. There are no shameful subjects in therapy. Anything that bothers you should be discussed with the therapist if the purpose of therapy is to be fulfilled.

Most certainly, there is nothing shameful about masturbation, especially in the early childhood years when one of the most natural things to do for children is to get to know their bodies. Unfortunately, our puritanical culture shames children for their most natural expressions, which scars them for life.