Sometimes the sessions where I go in unsure of what to talk about end up being the most useful ones. I just start talking about whatever, and we can end up on something really helpful. If you don't know where to start, you could just talk about how your week went, what you did, etc. Or even just say you're not sure what to talk about, and see if he's willing to ask you something (I know you said he lets you lead, but if you specifically ask him to direct you, he might be willing).