Agree bout trusting your gut. The body knows better than the mind. If you feel uncomfortable, anxious, shamed, etc that says a lot. If it were me, I'd bail out, and I'd also send him an email with feedback. Let him know what he did wrong.

I also think what you said about having trouble opening up, especially to a person you dont know, is significant. Therapy expects this, but doesn't make it normal or healthy or prudent.