Sheldon hears about Amazon's listening in on commands with Alexa, but are they recording when users do a drop-in, or a phone call? Rich says that no, the system is designed to stop listening once the command is executed. Besides, if they were, that could kill the entire service if word got out that Amazon was recording the entire call/drop-in.
But an easy way to test it is to make a call, and then give Alexa a command, If it reacts, then it's not recording. If it doesn't ... well, there would be an interesting answer from Amazon about that.
Also, users can always check their account at Amazon.com/alexaprivacy to see if the recordings are there.