Therapy can be hard sometimes, and no one can know everything. You did the right thing by bringing up your concerns to your therapist. There isn't really a right or wrong thing to do in therapy, just different ways, so don't worry about that. Thinking is a big part of therapy and if you don't feel comfortable with the recording just ask if it can be turned off while talking about a more uncomfortable topic. I don't see why the voice recorder has to be on for more than 2 or 3 minutes.
I wish you all the best!