My solution would not to make a hasty decision of walking away. I hear you saying ideally you would like your sensei to give you the ok to train elsewhere. At the same time allow you to continue training with him or her. I agree you need to first talk to your sensei and work something out first before bolting out the front door.

Before you talk to your sensei put yourself in his or her shoes. I don't think your sensei is a control freak. Let's consider there is a very good reason why he or she disapproves training outside the dojo. Here is one of many concerns I would think your sensei has, when going else where learn something different in a different way than what is taught in the class consider the impact it on his or her teaching credibility. Undermining a teacher purposely or not, when bring in different information, approaches, theories, or techniques needs to be considered by you. Put yourself in your sensei's shoes, understanding his position.

If you work something out where you don't effect your sensei's teaching and knowledge credibility in his class, maybe you don't have to leave. Give it time, don't expect it to happen in one meeting. You may have to meet several times over a period of time. Be patient, understanding, and willing to work something out.