No, he doesn’t have the “right” to know where you are at all times, but it’s true that it’s a courtesy. Safety is a so-so kind of situation. If you have a cell he can call you wherever you are, or emergency people could call you if something happens to him and vice versa.
I go out of town without my husband a few times a year. He always knows generally where I’m going and why. We both have cell phones. But there was one time he asked me what hotel I was staying at and I was surprised he wanted to know as I didn’t think that it mattered. Turned out he was just curious. Now, my previous husband, I would have suspected that he was stalking me or controlling me as he was like that. I try not to let that man’s behaviour colour my current relationship.
All of that to say, no - you don’t have to tell him. If you want to, you will. Also, your therapist is a professional that you see for advice and support. The therapist’s words have value. While not part of your marriage, the therapist is an important person in your life.