Sure, if you'd like to talk go right ahead. The important thing to remember is that this treatment is all about you relaxing and enjoying the experience. Many therapists discourage talking in hopes that you will relax, let your mind float free and enter a state of massage bliss.
In many instances, people may feel more relaxed starting off talking, and as the massage progresses, enter quiet states of relaxation.
The important issue here is that there are times when you need to speak up. If the therapist is doing anything to make you uncomfortable, you should let her/him know immediately. Also, let him/her know if you get too warm or too cold, if the room is too bright, or if the pressure needs to be changed (lighter or deeper). If something is not working for you - speak up! It's OK!