The therapy session is used as a way to tie the unconnected pre-title sequences into a plausible view of the family, as seen from the brothers' perspective. It's made clear that, although they all fight with each other, the brothers do actually love each other and are actually very protective of each other, especially from outside threats to their family dynamic.
All clips in this episode are "cold starts" from previous episodes, and have no bearing on the series storyline.