It's okay. I also have ADHD and a **lot** of different interests. It's a constant fight against myself to actually get **something** done among the many, many things I've started/jotted down on a notepad at some point. But once you figure out how to get one, just One. Long. Project. Finished... Things start to get easier. It's like... You know when you actually learn a new language? Or it finally clicks what you have to do to ride a bike? There's something about what you are attempting that makes you understand something about yourself. You can apply that subsequently to your workflow in other personal goals, making new attempts flow better and better as times passes.
So yeah, I agree with your therapist. For now, focus in one or two important things for you. Not only so you can actually finish them, but because focusing on few tasks will tune you to your feelings and thoughts through the process, which is helpful so you can obtain understanding of what makes *you* able to conclude your goals. I believe everyone has to go through a similar process at some point in our lives, whether we are aware of it happening or not. Having someone to teach/guide you helps our reasoning to connect the dots in our perception, which speeds up our brains' adaptation. If it is too used to doing multiple things normally... It will feel very frustrating at first. Like there's not enough stimuli at times? But it needs to learn to work in a slower pace, for your sake, and to not build up stress just because you are not multitasking/hyper-focused. You are just teaching it how, and that there's no need to fight you back just because the rhythm it is used to changed somehow.
The things that you might feel and do, and physical/mental mechanisms you will implement to push yourself to conclusion through the whole process... And even the things you might unknowingly be doing to sabotage yourself for some reason (yeah, that can happen). Knowing those things and understanding where they come from and how to make them work for you... That's a very precious, very personal understanding to achieve. The more you open yourself to notice your own thoughts and reasoning, the more knowledge you will obtain from this process to apply to your life in the future.
So yeah, my own perception of the process? You are unlocking a super power. A really useful one. Up to you how strong it can get. I wish you all the best. You'll get stronger for all this trouble, I assure you.