Yes, in an informed consent which you should have recieved it's one of those ethic/law things therapists are required to report unless it's an end-of -life decision based on a terminal illness for which there is no cure. Then it depends on each institutions/states ethical codes/laws. At the first session a therapist will usually cover the things they must report as well as discuss some issues they're not equipped to deal with. Once the therpists guidlines have been disclosed to the client, the client is free to continue on with therapy knowing the guidlines the therapist will practice under or terminate the session and future sessions.
Oregon is the only "Die with Dignity" state but not for depressional sucidal ideation.