If you bring up the recordings screen then hit the trash button on one of them, it just trashes the recording immediately even if it's in progress. It doesn't warn you. From what I could see there was nothing in the general settings that would force it to prompt you. So I accidentally trashed a recording in progress last night when I clicked on the wrong recording.
This applies to all recordings, you get no prompt on anything. I believe this does prompt on the Apple TV client.
Running latest 8.25 beta.