I agree that there are risks in therapy and I would confront a therapist who would say that there are none. This wouldn't necessarily be a deal breaker for me if I would have a generally good feeling about the T because I would rather try to understand first what the therapist meant by saying this. If this was a situational attempt to reassure me but generally it would seem that he understands how hard therapy can be then I would let it go. If the person seems clueless and really believes that therapy is totally harmless then I would leave this T as soon as possible.

Regarding getting worse I believe that in some cases it is really inevitable. The experience you describe is somewhat similar to mine. I had built very strong defence systems that served me very well, I had no depression, no anxiety, no emotional problems. I just didn't connect to people and didn't feel to belong to this world. When I started therapy my defences (or part of them) were very quickly torn down. This left me vulnerable to anxiety and depression. Previously I had been able to use work as a regulation mechanism - if there was any threat for emotional disturbance I retreated to work and everything was fine. Now this suddenly didn't work anymore. As a consequence, I became very dependent on my T, obsessing about him all days, barely able to do any work.

This period lasted quite long time, I don't remember exactly anymore, but at least a year or year and a half and it was truly difficult. However, over time I gradually found myself again a bit. I had to develop new coping mechanism but this would not have been possible if the old defences would not have been brought down first. The new coping mechanism are more relational, they involve more other people, e.g. my H, whereas previously I only could retreat to a cocoon. Also, having lost those defences put me into touch with my emotions that for very long time were intolerable to me. But in order to learn to know my emotions there is no other way, the only alternative is to run from them forever.

This is my experience, it might have nothing to do with your experience. But I just wanted to say that depending on what are your issues it might be possible to let go of your old coping mechanisms and tolerate a period of depression before something new and better can start emerging. It definitely isn't comfortable and pleasurable process and it requires a good T to accompany with you but if in this situation you want any real changes in yourself, this unpleasant process might be inevitable. I would reiterate though that a good T is a must in this process.