I would never go to a company therapist. Go out and pay for one yourself. There is a clear conflict of interest for the therapist and while they may seem to be nice it's not worth the risk.
I disagree. It depends on many factors. There've been numerous times in my life, and in the lives of close friends, where having a few sessions with a therapist could have been beneficial. But the situation didn't seem extreme enough to go through the hassle of finding a decent therapist and making an appointment – probably for weeks in the future with a good one. Sure, I could be proactive and find one before I need…
It's just that I wouldn't be too concerned about the possible conflict of interest with a healthcare professional where I am officially a patient and have HIPAA protections. However, I would be concerned about possible motives and conflict of interest with a company-provided life coach, who is not necessarily bound by any privacy rules.