I don't think there is anything unprofessional in this situation. I think your friend tried to help you by referring you and maybe she didn't know herself how things would happen with your therapist. As to who should tell you first, I think your friend could let you know if she wants to, but I don't see why your therapist should talk about his private life. If he treats you well and if the fact that he's dating a friend of yours doesn't keep him from doing his job correctly and offering you the help you need, I don't see the problem.