Your treatment is your valuable time and opportunity to relax. If chatting helps you to relax that is fine, but most clients find they can get most benefit from a treatment by remaining quiet and enjoying the relaxing music and touch. In many instances, people may feel more relaxed starting off talking, and as the massage progresses, enter quiet states of relaxation.
There are times when you should feel free to speak up. If the therapist is doing anything to make you uncomfortable, you should let them know immediately. Also, let them know if you get too warm or too cold, or if the pressure needs to be changed (lighter or deeper). If something is not working for you and you are not able to relax during the session, alert the therapist as to how they can make it a better experience for you.