My wife has had this happen several times. Premiere XL (2 tuner) is recording 2 shows. There are 2 shows that she will be recording directly afterward.
She is watching one of the 2 currently recording shows, but not live, it's delayed so she is ~10-15 minutes behind.
She gets the "do you want to change channels" pop up for the first new show, she says yes, change the channel, then she gets the second pop up, but the menu freezes and she can't select anything. The show continues to play in the background.