It depends where in the sentence and how often it's used. Like: "Betty I want you to know..".doesn't bother me in moderation, but: "You can see, Betty, that..." is annoying. It just feels more phony that way. People can also overuse your name as a condescending or hostile tool. (Doesn't sound like your therapist is doing that.)

After I asked at the beginning how my pdoc/therapist wanted to be called and he said "Dr. Jones" he was obliged to refer to me as "Ms. Smith". He doesn't do that in session, thank heavens, but when he's talking to the secretary. "Terry, can you change the schedule of Ms. Smith for Thursday?"