Psychologists talking to others

How do you guys get past the violated feeling of the therapist talking to the others or visitors or whatever and you not knowing what is said? Don't you hate having to get things second hand?
Has anyone ever thought of video or audio recording your sessions so that you can know who she is talking to and about what? Is that OK to do? I mean legal and all. We should ask. Don't like the feeling of not knowing what is going on.