I thinkn HB raises good points. If you cancel appointments with a T and also tell them you don't think therapy is working for you, then termination may be the most ethical response. There isn't much else she can say. If you want to know more I would definitely see her for a termination session and talk face to face. She won't tell you that she's hurt or angry, etc since that would be unprofessional (therapy is about your feelings not hers).

As far as records are concerned I wouldn't worry about anything negative being in them. All Ts are different in how they document sessions - some keep a lot of clinical notes and some do not. A lot of the time it's factual - dates, times, etc. Personal opinions may be written but is usually for their own reference and not necessarily something that is kept in clients files when records are transferred.