Should I tell my therapist I feel like crying every session?
If by therapist you mean a psychotherapist, I would recall that there is only one rule in psychotherapy: the patient (you, in the case) must (not merely should or could or can) say to the psychotherapist everything that comes to their mind during the session, avoiding any sort of self-censorship or previous selection of ideas (at least this is so in Psychoanalysis) - and this is the opposite of what you are doing (that is: you are spending your time and money in vain in order to continue to suffer in silence: this is like going to the dentist and considering if it would be helpful if you opened your mouth for examination). If by therapist you mean a physiotherapist instead, I think this would be helpful as well, yes.