No, I didn't because I knew it wouldn't scare them.

If you are not prepared to follow through on your threat, then it wouldn't help you. It wouldn't even give you a temporary satisfaction of feeling powerful because your T would be unfazed by it. It's not a big deal for him to lose you. He won't be terribly upset. But it is a big deal for you to lose him. So, if you make an empty threat, it'd make you feel even more powerless in the end.

You have to make a decision about staying or leaving. If you think the negatives of your therapy outweigh the positives, just leave without saying anything. Otherwise, just stay and accept what you have now, because it doesn't look like your T is someone who welcomes egalitarian discussions and negotiations on how to design the process. He makes all decisions by himself and he gives you little room to wiggle. With this rigid approach, your only choice is to accept it or to get the hell out of there. I'd choose the latter, but that's me.