Normally when you get a massage, you're allowed to keep your underpants on, so you could wear a tampon if wearing a pad would be too noticeable. You do normally end up taking off your bra, however. No, I don't think you ought to let the therapist know, because I'm sure there are loads of women who get massages with their periods. Just let them know that you want to keep your underwear on. You don't have to tell them why - especially if it's a guy!
Do you get totally naked? I've never had a professional massage. If that was the case, I'd probably cancel if I had my period. If I keeping my panties (and pantie liners, lol) on then I think I'd go ahead with it.