Is it OK to fall asleep then wake up near the end of the hypnotherapy session?

Sleep then awaken during the hypnotherapy session

Yes it is. You may feel like you have slept for most (or maybe all) of the session, but there's every chance you were just very relaxed. If the binaural beat version always makes you fall asleep and you'd like to be a little more awake, use the non-binaural version that came as part of your download.