I said "not sure" because it would likely depend on the unique situation. First off, I would probably think on it for a good while before doing anything. I think my first choice and preference would be to settle it with the therapist (what I did with one of mine that screwed up in the past, about a year later). If that was impossible because the T was not open to it, I would try to assess what the potential pros and cons of filing a complaint would be for me primarily. I would also try to see if, based on the nature of the T's wrongdoing (e.g. if repetitive pattern I can identify), I could possibly help other clients from being hurt/harmed similarly. I don't think I would do it though if I felt that the process would make me worse than the initial act or would make me stuck in it further.
In any case, I would always choose to try to work out the conflict with the person directly before any indirect action and involving others.