It's a turn on for two reasons: 1) It shows that she knows what she likes/what turns her on, which shows she's confident and willing to take action.
2) We men are generally simple, we like to be pleased and
to please. The more pleased you are, the more pleased we are. If you think he may feel he can't give you an orgasm, you may want to "guide" him on doing more of the rubbing, that way he feels he's doing more of the pleasing. Some men like to be shifting the gears, others like to sit back and watch