YES! Please do! Many massage therapists and spas use scented lotions for a more relaxing experience or to bring a certain ambiance to their practice.
We also realize that many scents can bring up emotions, feelings etc. of past experiences. Many individuals do not care for particular scents for differeing reasons and would prefer an unscented lotion or oil or just a different scent or fragrance. So again, YES, please ask them to change.
Hope this helps and that your massages are TERRIFIC!