Please feel free to undress to the level that you are most comfortable with. Massage therapist deal with the human body every day, multiple times in fact. Draping the body with a sheet allows us to section off certain areas of the body so that we can work while not leaving the client exposed. Draping is required by Washington state and is not optional. Just remember to get under the top sheet and blanket, otherwise you might get a bit chilly.
I find it's always best to run to the bathroom just prior to the appointment, full bladders make relaxing much harder to do especially on a massage table. Also, an empty stomach tends to seem even more distracting in the middle of a massage, so having a small snack beforehand keeps the noise down. But avoid having a large meal just prior to your session, it can make you uncomfortable while laying on your stomach.
Of course not, if anything, falling asleep is a compliment to the therapist. Snoring isn't a big deal either during a massage, have no worries and snore away.
It depends on what type of massage you'd prefer, during a deep tissue massage feedback is necessary to gauge pressure, communicate areas that might need extra focus, or address issues of discomfort. But if you are after a nice quiet relaxing massage then let your therapist know before the massage begins so they can ask any pertinent questions prior to starting the massage.
A well trained and professional massage therapist understands that any kind of physical touch can have this reaction on the parasympathetic nervous system. No need to be embarrassed, having that kind of response during a massage is fairly uncommon in men but when it does happen it will be politely ignored. However, all massage sessions will remain strictly professional, and any sexual behavior, comments or advances by the client are prohibited and the client will be asked to leave immediately.