No, it is not considered normal or appropriate for a spa therapist to stay inside the treatment room while you change. Privacy and comfort are essential components of any spa experience, and spa professionals are trained to respect their clients' boundaries and create a relaxing environment.
In most reputable spas, therapists will leave the treatment room to give you privacy to undress and get onto the massage table or prepare for the treatment. They will typically instruct you on how to disrobe and provide you with a robe or a towel to cover yourself before the treatment begins. Once you are ready, the therapist will knock on the door to ensure you are comfortable, and only then will they re-enter the room to start the treatment.
If you ever feel uncomfortable or uncertain about the practices at a spa, do not hesitate to voice your concerns or look for alternative establishments where your privacy and well-being are prioritized. Professional spas aim to create a serene and calming environment, so they should be receptive to addressing any issues you may have.