Obviously, the law regarding call recording varies from jurisdiction to jurisdiction.
In most cases, when calling into a business that does record calls in a queue (and a lot do), the caller is given a notification of this during the initial announcement, and it is then up to them as to whether or not they continue the call. In the majority of installations, the agents themselves have no control of the recording equipment. In many companies the recording are used to monitor an agents "performance", along with protecting the company, so it would not make a lot of sense to allow them to turn it off at the callers request.