I attended a psychiatry appointment with an ex of mine and we both found it helpful to our relationship. I found it helped me understand her schizophrenia better and it helped me look out for warning signs of oncoming psychotic episodes. In that case however she asked me to come along.
On the flip side, I have also had my current partner attend a few of my therapy sessions so she could understand my depression better. In this case she asked if she could attend because she hasn't had much exposure to mental illness before and wanted to learn more about my situation.
In both cases I found it helped my relationships. The difficulty for yourself is, does your son want you there? I think attending a session with him could be very helpful to you both, but first he needs to be comfortable with the idea. If he already is then great! But if not, start sowing the seeds slowly. Open up dialogue with him about his OCD and depression, ask how he's travelling, how his compulsions are coming along etc, then ask about his therapy sessions (gently). As you both get more comfortable talking about his therapy and progress you can then bring up the subject of joining him one session.
If he's secretive about his symptoms then start by opening dialogue more. When you feel the time is right, gradually and gently introduce the option of joining a session. From my perspective as the "patient" having a carer join them, I found it to be quite daunting and nerve-wracking. In therapy I am completely exposed and vulnerable - it can be difficult letting another person see that, even if that other person is someone you love and trust.
