You should do whatever makes you the most relaxed. For some people this is talking, while others may like to be silent or sleep. The massage therapist may ask you for feedback at certain points during the massage. If your therapist is talking too much for your taste let them know. They won’t feel offended.
You should be comfortable during your massage. Some people prefer to keep their underwear on during the massage, while others prefer to be completely nude. Only the area being massaged will be undraped.
Communication is key to getting the greatest benefits from your massage. If the pressure isn’t what you would like speak up. Massage should not be painful though. If the pressure is too much it can cause harm to the muscle tissue.
Everyone is self-conscious about an area of their body. Your massage therapist is a professional and sees every body as the same. If you are self-conscious about an area communicate with your therapist and ask them to avoid that area.