There is no "right" or "wrong" way to use a tutor, there is only a way that works for you.
If you think that you need them to go through concepts, get them to do that. If you think that you need them to go through questions, get them to do that.
However, the two don't need to be mutually exclusive. Perhaps, the best method might be to get them to go through questions you don't understand, and explain the concepts and fundamental mathematics behind those questions.
Maybe you're finding what you're doing too easy. In this case, your teacher can't accelerate your learning, but your tutor can. Ask them to teach you about future concepts you might be learning (eg. getting an early start on differentiation of transcendental functions).
At the end of the day, if you're not sure you've done something that helped you, just think about how much you paid them and ask yourself, "was that past hour (or however long you spent) worth how much I paid them?" If the answer is no, you need to rethink how you spend your time with your tutor (or even if your tutor is any good), and maybe what you two should've done instead.
Another thing - teachers teach things in a way that the majority will understand (eg, for composition of functions, most will say "the range of the inner must be in the domain of the outer", but that's just a shorthand way for knowing if the composition exists, which there are other ways of explaining), but that won't necessarily work for you. If asking your teacher can't glean a better explanation, ask your tutor. They may be able to explain it in a different, more extensive, way such that you know what's going on.