IANA Massage Therapist, but my mother and best friend and several others I know are, so I might be able to offer some answers in leiu of a massage therapist jumping in.
As far as clothing, yes, you can be naked. There is nothing to worry about from a legitimate massage therapist, as he/she will keep all the private areas covered, but even underwear can interfere with the quality of the massage. I would hope that as the massage therapist gains your trust, you will feel more comfortable with that.
As far as feed back, that depends. There are different kinds of massage, some are meant just to feel good (like swedish massage) and some are meant to be therapeutic (like deep tissue). Depening on the type, some parts may be uncomfortable or downright painful and you should have been informed beforehand of that fact, but you should still tell the person giving the massage if it is making you too uncomfortable. If it’s for pleasure and it hurts, you should say so, or maybe let him/her know if there’s a specific part you enjoy more or less than others. Some people are more sensitive than others, so the massager may be too firm and hurt someone, or may be too soft and just tickle another. I think a good practioner will prefer some feedback because it will help him/her learn your needs quicker.
Unless you’re talking about feedback like you would give to someone learning. In this case, the massage therapist is ethically (and generally legally) required to inform you that he/she is learning and will likely ask for feedback
The bottom line is, it is your dollar and you should be getting out of it what you want. If anything is making you uncomfortable, you should correct it either by speaking with the massage therapist or finding a new one, if necessary.
Other questions, if you haven’t asked them already, make sure your massage therapist is licensed by the state and national boards. I don’t remember any of the major national certifications off the top of my head, but I could ask or look it up if you’re interested. Also, make sure he/she has malpractice insurance; it may seem a bit silly for just rubbing muscles but, especially for therapeutic massage, it can result in serious injury if they screw up. You should be just as selective when choosing a massage therapist as you would be choosing a doctor, dentist, church, etc.