You are draped for the whole session. Only the area being worked on is uncovered, and it is covered again before the next one. Draping is not optional and it is not something anyone can ask to skip - it is how licensed massage is done.
You undress to whatever level you are comfortable with, privately, and you are under the sheet before anyone comes back into the room. Plenty of people stay partly dressed, and that is fine.
Speak up at any point in the session. If the pressure is too much or not enough, if something hurts, if you are cold, if you would rather an area was left alone - say so.
You do not have to wait until something is already wrong. If there is an area you want left alone, say so before the session starts and it stays untouched for the whole session.
You can ask for the session to stop, and it stops. You do not have to say why. None of it is a problem.