I don't have advice other than to say "good for you for getting a therapist now." Really, I think that is a great route. I hope they're able to give you great help.
A friend of mine has a child with pica and chose not to see a therapist when the child was younger. This was due to personal beliefs, financial issues, time constraints, etc. However, the child is now a teenager and still has very severe pica issues. She's fortunately getting professional therapy now and it's helping--but the mom definitely wishes she would have sought out professional advice earlier.
I would imagine you have read similar, but it may be worth it to change diet and see what happens if the iron supplement doesn't make a difference.
Malabsorption can result from inflammation, anything irritating the GI tract lining, such as gluten i.e. celiacs, bacteria imbalance, food allergies. WIthout iron absorption I could see how it would create pica. It is also difficult to absorb medications and supplements, not just food nurtients. So if the iron supplement doesn't make a difference it may not be that it's not working it could just be that that it is not being absorbed.
Iron deficiency and pica have been reported in association with celiac disease in childhood.[11,12] Santos and Werlin describe 4 patients who each complained of vague abdominal symptoms of intermittent pain and loose stools. All patients required biopsy to confirm the diagnosis of celiac disease. The gastrointestinal symptoms, pica symptoms, and anemia all resolved with institution of a gluten-free diet. The authors believed that, in these cases, the pica was secondary to the iron deficiency, and the anemia was due to malabsorption. Cases such as these lend support to the theory that pica results from a low iron state.