For CBT therapy, the evidence strongly suggests that it does help in the vast majority (but not all cases). More research is still needed to your point, and we can acknowledge the research done so far has provided evidence in favor.

"The effect's associated prediction interval −0.05 to 0.50 suggested CBT will remain effective in conditions for which we do not currently have available evidence. While there remain some gaps in the completeness of the evidence base, we need to recognise the consistent evidence for the general benefit which CBT offers." https://pmc.ncbi.nlm.nih.gov/articles/PMC7856415/

"Eleven studies compared response rates between CBT and other treatments or control conditions. CBT showed higher response rates than the comparison conditions in 7 of these reviews and only one review reported that CBT had lower response rates than comparison treatments. In general, the evidence-base of CBT is very strong. However, additional research is needed to examine the efficacy of CBT for randomized-controlled studies." https://pmc.ncbi.nlm.nih.gov/articles/PMC3584580/

How would one double blind a traial of one or more therapeutic methods?

Honestly, I don't think it's possible.

Correct! And even if it was, what's the active ingredient of therapy?

We know how aromatherapy, homeopathy and acupuncture works, it's called the placebo effect. Now maybe you meant to say: we don't know how the placebo effect works.