Have Mental Health Questions? Ask a Psychiatrist Online
You would want to follow the suggestion of your physician. During your disability application review, they will look at everything you've done that had not led to improvement of your condition.
The more information you or your attorney is able to present, the better. The disability reviewers are not necessarily therapists.
If you do not follow the physician's suggestion, it may be interpreted that you were non compliant. A person can be seeing a therapist. That does not imply that you're ready to go back to work. It simply shows that you're taking care of your health.
You could even look into getting this therapy through your EAP benefits (if your job offers these) That would allow you to have some free sessions before having to pay a copay.