This really does my head in as well - the program is about to be recorded, so why would I want to change the channel from what I'm in the middle of watching?!?!?!
I'm assuming there's an option in myth for this (it's the myth OSD that pops up), so have a little poke around in the myth settings, I'm assuming it will be in the frontend. I will do the same, and we'll meet back here and report our findings!