I think because your T sensed you didn't trust him much and didn't open fully in the beginning he decided to make you more comfortable by allowing you to lead the sessions in your own tempo. Now, if you have some specific goals, I would definitely talk to him about it. Tell him something like: "I have this goal X", can we work on achieving it?
Or "I would like to see more progress in my life but I'm not sure about how to set goals. Could you help me set some goals and then work on them?"
Your T seems quite good from what you describe and managed to make you comfortable so I would try to continue with him. Just tell him that you'd like to get more practical.