I can't tell from your post how long you've been going and what you and husband have been trying to accomplish by going to this therapist. Were you trying to save your marriage? Get help with the stresses and strains caused by difficult children? What has your husband been thinking was happening?
If this will be a surprise to your husband, I think I would call the therapist ahead of time and ask for guidance on how to do it in the gentlest (and least embarrassing) fashion. The therapist knows him and should be able to give you some good advice.
I don't think having the therapist there is necessarily bad but remember that your husband will still be coming home with you afterwards so I don't see any gain at all in humiliating him or angering him unnecessarily.
Suz
