@Vinvertebrate therapy can for some people change thought patterns because good therapy can challenge unconscious assumptions, or ones that people have been fed from childhood. For example "you should eat less than men at the dinner table" (with the subtext that men > women) as an obvious example, or that you're worthless if you have sex before marriage. People are still fed both those beliefs, even now.
The challenging gets people to be aware of the lines that they have been fed as children and if the therapy is successful it can literally start forging new brain connections. The more the person chooses to think and act differently (in these cases, serving themselves as much as the man, allowing themselves a sexual relationship with their bf) the stronger the connections get. The old neural pathways never completely disappear but the new ones get stronger and stronger.
You're not wrong that volunteering can be a really constructive thing to do. But you asked how therapy can help change though patterns, and that's how. Choosing to think of pre-marital sex as pleasant and natural rather than a sin - but some people need external help to make that shift, because it's going against the extremely powerful parental conditioning.
Objectively therapy -is- hard to quantify but trauma, especially childhood trauma, tends to lead to a considerable number of physical issues later. Immune system, digestive system and skin are the three major ones. Trauma that people have come to terms with tends to lead to less use of medical services, at least that's the theory.
And actually, walking, fresh air, exercise, healthy eating, a reasonable social life, not much alcohol, a reasonably tidy house, a safe environment are all very helpful in maintaining good mental health. No doubt studies could be done to see if depressed people recovered better if they changed to healthy living from unhealthy living v therapy, or if a combination of change to healthy living and therapy woukd be best. Don't know if those studies have been done.
The tone of your post is generally sneering though, so it looks like you've tried therapy, it was not effective for you and you're completely dismissing it. But I don't think that because it wasn't helpful for you, you can blanket dismiss it for everyone "and their little neuroses". Therapy has in some cases helped people who have been to hell and back, and it's a wonder they are still walking this earth, never mind managing to hold down jobs and relationships.