Yeah. Steve isn't trained for this, and I imagine that Bucky cares what Steve thinks about him, so has trouble admitting some of the stuff that might make (in his mind) Steve think less of him. One of the benefits of a therapist is they start as a stranger (and you figure they've seen some crazy* shit).
* Word chosen deliberately, in that they work with folks with mental illness who want better coping strategies. While I imagine even a therapist who specializes in vets probably has never seen a case like the Winter Soldier, there's probably common elements in dealing with POWs or long-term hostages, or general PTSD sufferers.