For me, it's the exact opposite. I'm not really comfortable talking about things in person, so online therapy is the only option as far as I'm concerned. I'm lucky to live in an area where there are a plethora of therapists that specialize in trans* mental health, but after shopping around, I've found that they are all 2-3x more expensive than the online option that I'm currently pursuing.
Ultimately, I think it really depends what your biggest goal with therapy is, and what you think you would need to achieve it. For me, it's less about mental health and more about fulfilling the requirements that I need for HRT and top surgery. Because of that, I'm much more comfortable doing online sessions that may seem impersonal - they're a means to an end.
I'd say talk to the therapist you've been seeing before pursuing anything else. Maybe they can find a way to make it feel more personal for you with some better positioning, microphone use, etc.