Personally, I think it is always appropriate, no matter what phase of therapy you are in to give a therapist feedback. And this is me talking from both a very experienced client and a very inexperienced therapist perspective. But the chances that you will get what you want depends largely on two things: how you ask, and if the therapist has the ability to give you what you want.

The skill of asking for what you need is a very important one, and there is no place safer to do it than in a therapy relationship. To increase the chances to get what you want you have to reduce the defensiveness of the person you are asking. The best way to do this is to simply focus on the facts and not try to make interpretations about why they did it. So just describe what happened. To use an example from another thread of yours: "I noticed that you walked me to the door, but then didn't say goodbye." And then say what effect that behavior had on you. I'm not really sure about this part in your example because I didn't quite understand why it was upsetting to you. You don't want to say something like "you didn't trust me to close the door." That will bring up defensiveness. Instead talk about *your* emotions. "I felt worried that you didn't think I'd do it right." or "I felt sad that you didn't say something to me when I left." Then ask directly for what you want. "Would you mind if I just myself out?" and then reinforce her in advance for doing that...tell her the benefits of it. "Then I'll be in a better headspace when I leave and I'll feel better about seeing you again the next time."

The other part of it though is if the therapist has the ability to do what you want. Most therapists can adapt somewhat, but might not be able or think it would be appropriate to make a radical change in style. I'll give you an example from me as a very inexperienced therapist. I had a couple of clients who said that I didn't talk enough. What I think that meant is that they wanted me to be more directive...to tell them more what to do. That isn't my natural style, probably partly because I dislike bossy therapists as a client...and because my experience is that people often know what will help, they just need encouragement and support. I probably should work on being able to be more directive because that is likely helpful to some people, but it feels unnatural to me in that role where I want to be supportive and accepting so it's going to take some time and practice.