I tend to be pretty specific about what I want...but I've been in therapy for a long time and try to pay attention when something helps. If I was going through a temporary hard time, I might say something like "Would it be ok if I emailed you on Wed or Thur? And would you be willing to send me an encouraging response so I know you are there?" If it's more of a long term thing, I might say, "it helps if I know someone understands what I'm going through, so it's useful when you are empathetic." Or if I'm having trouble talking or explaining something, I might say "It would help if you would ask more questions."

If it's a short term problem (I'm having an especially bad week) then I think they are probably asking because they really want to be supportive. But if it's sort of a general out of the blue question, I would suspect they were asking because they didn't know if what they were doing is helping. Either way I think it's worth being as specific as you can be, because a lot of therapists never ask and it's nice when they do.