My experience being on the observer/trainee side (for non-therapy medical encounters) is that it's indispensable for learning, AND that the patients who say yes when asked to allow a student in the room aren't just the ones who are unbothered by it, but also the people who for whatever reason feel least empowered to say no. Which really sucks. In a therapy relationship, I think it's unethical for the therapist to make that request if it's not in advance with plenty of time for the client to think about it, and the power differential/potential for the client to say yes because they think it will make the therapist happy/possible fear of saying no absolutely has to be acknowledged and discussed.

My (biased) opinion is that I'm pretty good at making people feel comfortable with me quickly, but no matter how respectful and personable and empathetic the student/trainee is, having another person in the room has the potential to change the interaction. And I really loathe that people who don't feel able to or allowed to say no are the ones who disproportionately bear the burden of putting up with students watching their appointments, performing their procedures, etc.