It's definitely not unusual. Most subs bring their own devices, as not every Mistress has extras around for session wear and sizing is often an issue.

CBT and ballbusting in a device are fine, although the Mistress may have to be a little more careful in order to avoid damage, and obviously limited by the parts of your genitals she can access. I would recommend against full kicks, but squeezing/pinching/whartenbergs will all be fine.

You have discovered an issue with chastity devices, which is that they are kinda difficult to get on. There's a reason they don't show that part in porn! It's best to put on the device before the session. If that's not possible you're just gonna have to accept that the first 15 or so minutes of the session are going to be about getting you into the device, and the experience will likely be deliberately unsexy because the devices are harder to put on if you're aroused.