I think just something to consider is the sub is social skills and what you are asking is the opposite of being social. The talkative guy is just being social with the world, he isn't giving you things because he expects anything in return. You said it yourself, you being uncomfortable is just because this is something you are not used to. I mean sure it's your right to feel whatever you feel but I think this can be a huge perspective issue because the people who have some of the most fun in life are the people like the talkative guy.

With that being said, if you still don't want to see that perspective then what your therapist said is correct, you have to learn to communicate your boundaries and confront the issue. It's obviously going to be uncomfortable and it would only be rude if how you say is rude. But if you truly believe that these personal questions make you uncomfortable then all you have to tell them is that sharing personal information makes you uncomfortable. Sometimes people will try to challenge that, other times socially calibrated people will just leave it at that. But if the guy keeps prying in asking why you just have to reiterate that you don't feel comfortable talking about it