Tell them. With my current therapist we had a couple of appointments where she said something that bothered me. The first time I wrote a letter to her and she read it in our appointment. She handled it amazingly. She apologized for what she said, explained what she intended to day and asked how she could do better in the future. She was not upset liek I feared she would be. Since then if something hurts me I tell her and we always handle it the same way. It strengthened our relationship and my trust.