I had pelvic PT about five years ago (45 year old male at the time - I'm still male, but no longer 45). I found it helpful overall.
My physical therapist mostly did deep massage on my abdomen to work on trigger points, on the theory that against wall tightness was contributing to my interstitial cystitis pain. I don't necessarily agree with her theory, but it did help a lot with my pain levels. We did some relaxation techniques ad well. She did one session of rectal massage, which also helped but was not very comfortable (I have ulcerative colitis, so my rectum is often inflamed). Because of the physical discomfort, we did not continue with the rectal part, which I understand is typically part of pelvic PT.
I probably had a dozen or so therapy sessions, and I had significant reduction in pain after each one. I don't think I got a long-term benefit from the PT, although I'm not necessarily a typical patient because of various other health issues, so your mileage may vary.
Each session took about an hour. We started by talking over symptoms - how much pain was I having, where did it hurt, that sort of thing. Then she woukd take me through some stretches to help loosen up the abdominal muscles, followed by deep massage of my abdominal area where I could feel her getting deep enough to be moving around the organs in my abdomen. The one time she did rectal work, it came after this, and involved her putting a finger in my rectum and massaging the muscles around my anus. After the massage we did relaxation techniques and more stretches. She'd send me home with a list of stretches to do, which I kept up with for a little while but dropped later when it seemed like they weren't really helping.
There only embarrassing parts were that I frequently had urges and some leakage during the massage, and of course having a finger in my rectum is always awkward. I made sure to empty my bladder just before each session and changed into a light pull-up and sweatpants that wouldn't be in the way of abdominal massage. Having had ulcerative colitis for thirty-some years, I've gotten over most of my embarrassment over having a finger in my bottom, but there's no way around the awkwardness of it. That's probably the worst part for most people.