Learn Portuguese (Portugal): A terapia é útil para compreender aquilo que pensas. - Therapy is useful to understand what you think.

Yes, you could absolutely say o que pensas. Both aquilo que (literally "that which" or "the thing that") and o que translate to "what" in this context. Using aquilo que just adds a little bit more weight or emphasis, like saying "that specific thing that you think".

The English translation is "Therapy", but the Portuguese is A terapia. Why include the A?

In Portuguese, definite articles like a or o are generally required before abstract nouns or broad concepts, even though we drop them in English. So, "Therapy is useful" becomes A terapia é útil.

Why do we need para before compreender?

The adjective útil (useful) is usually followed by the preposition para when explaining what something is useful for. Before a verb in the infinitive (like compreender), para translates nicely to "to" or "for". So, útil para compreender means "useful to understand" or "useful for understanding".

How do we know it means "what you think" if the word for "you" isn't there?

The verb pensas is conjugated for the informal "you" (tu). Because the ending -as makes it completely obvious who the subject is, the pronoun tu is simply dropped. This is very common in Portuguese.