Do you like to have the therapist call you by name?

All right then.
The use of somebody's name or any other word to address somebody in spoken English has three main functions: 1) to call on somebody's attention, 2) to indicate which person you're talking to, if there are several people present, and 3) to establish, define, and/or strengthen a relationship with the person. It's the third function that's relevant here. The relationship might be positive or negative - you can use somebody's name or some other noun to show familiarity or fellowship, to create distance, to threaten the other person, and lots of other functions - it's all in the context, the tone of voice, etc. (For instance, some parents might use their kids' full name when they are angry with them, some spouses might use pet names when they are alone, etc etc.) And if there are other people present, you might use a particular address to show the others what your relationship to the person you're talking to is.

Because this kind of address has so many common functions, it's not strange that different people will experience the same address terms differently, and not always the way the speaker intended. (for instance "My mother used my first name when she was angry with me, so if T uses my first name it means she's angry with me" - kind of a blunt example I guess, but I think it is possible.) People don't usually stop to think about how or why they are going to use somebody's name, because language doesn't work like that - we do it by habit or instinct or whatever you want to call it. Similarly, people don't usually stop to analyse what an address term might mean, its function is interpreted subconsciously most of the time.

I recommend this article (you should be able to read most of it though I think Google filters out a few pages).

Sorry about the wall of text, but you did ask...

It doesnt matter to me just as long as i get the message!

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I don't, and he rarely does, because I myself don't know what I like to be called.

I do like him to use my name. He doesn't over use it though, which makes it seem nicer. It makes me feel like he is there for me.