re: Sopranos - Employee of the Month Episode (spoilers)

Throughout the series Melfi came to a few crossroads to either foster Tonys narcissistic aggressive behavior or try to help him deal with his stress and anxiety in other ways.

Seeking his help in that instance would have undone everything they had done to that point and would rendered their future session useless since she would no longer on the outside looking in to Tonys world but rather ingrained in it and in his debt.