If you are going to educate and inform her (which I think is a good idea), I would wait until the session is over. If she becomes vindictive ("how dare she walk out on me or lecture me") she could try anything to cause harm, however slight it may be, and file it under "accidental"..."ooops, soooo sorry about that"..
When you are paying for the session and she wants to schedule the next session, let her know that you won't be working with her any longer because you don't feel comfortable working someone who is so intolerant and transphobic. We need allies not enemies who can provide the support needed to undergo this journey.
Bottom line: you need to feel comfortable with someone who is professional, compassionate and is an ally of the trans community. Don't settle for anything less.
I fired my first electrologist because she was unprofessional - taking phone calls during the middle of a session, inviting a friend to drop in while she was working, trash talking and gossiping about other clients, etc..
I made sure to let her know why I wouldn't be working with her. She offered 2 free sessions and I declined. Stand your ground and take your business elsewhere.