If you leave therapy now, the rest of your life is going to feel just as bad as it does today, and possibly worse when he takes you to his homeland and you have no friends and no rights as a woman. I'd be quite upset if someone who says they love me wanted to do that to me.
The other women must have had reasons to leave AND take the children, don't you think? Maybe you need to revisit that? You don't have to respect your husband unless he is respectable. If he acts out other than as a loving spouse and father, then he can't be treated like a loving spouse and father, can he?
It's very unusual for a therapist to be so direct with their concerns (such as hers about leaving your spouse.) I think you need to fully listen to her and her plans and concerns, not that you have to follow them, but do listen. Some of it might have merit.