People usually go to therapy for a reason. If you're 3-4 sessions in and there is no treatment plan with explicit goals to address the reason you're there, that's a bad sign. If you're in therapy for a while and don't feel like progress is being made, also a sign to address it directly with your therapist or move on to someone else.

Therapy is not going to be a measurable experience like you want it to be. The literature consistently shows the most common predictor of success in therapy is how well you get along with the therapist. Other evidence-based treatments (eg CBT, DBT, CPT) are geared toward specific symptoms, and not as useful for the "worried well"

It would also be against most therapists' ethical codes to treat you without directly communicating and coordinating with your other providers. If they find out you're in treatment with other therapists at the same time and hiding it, they would probably terminate services.