Maybe it depends on what you're looking for in therapy, or what your goals are for therapy or what changes you're seeking to make. Could be that the goal is to ask for what you want and be okay when the answer is no. This seems like a healthy skill to develop, especially if growth in relationships is desired, or greater risk taking is needed to move forward in whatever way one wants.

I don't have a therapy goal related to my therapist giving me what I want. I have asked for things over the years and I can't recall he refused with the exception of switching a session time during a week when he was full. Maybe once or twice during answering one of my crises calls, he could only give me a few minutes. I do think it was helpful for me to reach out and ask for what I needed, it cracked through the fierceness of my independence so when I later needed to ask people in my life for help, I could do it. And there was a lingering trace of belief from childhood that people won't help you even if you ask, so why bother, and some of the fierceness of my independence was more cynical than fierce.

But it seems like being will to ask for what I wanted from the people in my life gradually opened up more closeness and intimacy with them and I became more comfortable with the kind of vulnerability this generated. But I think asking comes with it the willingness to hear no for an answer; if you ask and you're not willing to accept a no, then that's not really asking for what you need. When I first started asking my spouse for things, I'd get pissed off when he said no, and I'd be all like (inside my head) I hardly ever ask for anything and he says no, like that should have anything to do with it. So I would engage again and negotiate for something else that was in the neighborhood of the original want, a decent substitute for me, it might take me days or even weeks to reengage. Maybe this is automatic for a lot of people but I had to see asking as more of a process or long term approach rather than a one time event. But it definitely improved my ability to communicate what I wanted and he became more of an asker too. I think both of us became more open minded and were more satisfied with the increased closeness that brought.

The original question posed in this thread, how does it feel to not get what you want, is an easy question to answer. For me, it can feel awful but is survivable. I don't think the answer is the end of something, but the beginning. In my own therapy it's been hard for me to admit that I wanted certain things (that didn't have to do with the therapist). Because to have that open desire out there for me to see-- well, if I were a guy I'd say something about something swinging in the wind-- that feels vulnerable. I'm trying to tame my instinct to beat up the thing I want or demean it or pretend it doesn't really matter if I get it and I want to see the desire as the beautiful human thing that it is, but I'm not quite there yet.