Q: How long have you been going? Guy 1 - I'm seeing a therapist.
Guy 2 - Okay.
Guy 1 - You seem surprised.
Guy 2 - No, I don't know. A little, maybe. So how long have you been going? / So how long have you been seeing that therapist?
Guy 1 - For a few weeks.
Would "So how long have you been going?" be perfectly natural in this context?

A: Yes, that would be perfectly natural. The other phrase is natural too, but the context is apparent without re-iterating the fact that Guy 1 has been seeing a therapist.
The word 'that' in the second version might imply that Guy 2 is asking about how long Guy 1 has been seeing this therapist as opposed to another therapist or something - especially if any emphasis is used in the speech.
