It's perfectly fine to let the massage therapist know that you've recently showered before the massage. In fact, informing them about it might be beneficial, as it can help them understand why your hair is wet and alleviate any potential concerns about it being sweat. It's a courteous way to ensure clear communication and create a comfortable environment during the massage session. Professional massage therapists are used to dealing with various situations and will appreciate your openness. Remember, they are there to provide you with a relaxing experience, and being upfront about such things will likely make the process more enjoyable for both of you.