Thank you for a thought-provoking topic. As a submissive I have a few observations / experiences I'd like to share on the topic. If I am repeating myself from a post I did here or MF please forgive me.
1. If you are sessioning with a Domina for the first time in Her private dungeon, apartment or hotel room and YOU feel apprehensive, think about the Domina. She may do some screening (in the pre-internet days it was a phone conversation), but the Domina really doesn't know who is going to come through that door. Be at least a little tolerant to that view.
2. One safety tactic that I experienced at least a couple of times with first-time sessions was exactly the same. Ironically they were from Amazonian female bodybuilders (I'm 6' 1" around 235 lbs. or so and they were taller, probably stronger than me), is a phone call a couple of minutes after I entered the room. The conversations were something like, "Yeah, I'm fine. About to start now. Bye," and both ladies made the point to say that a friend traveling with them called to see if all was well.
3. Another safety tactic: a growling guard dog. I love dogs but it was intimidating. One was a Doberman that I did eventually see after session, the other was a Pit Bull I heard, but never saw.
4. I've walked out of sessions quickly, at least three or four times on a first-time session. In a couple of cases it involved the Domina using old or misleading pics in her ads. In another couple of cases the Domina looked and sounded like she was drunk or on drugs. I left part or all of the tribute and got out of there.
5. Concerning notetaking on subs, I became a regular of the late, legendary Mistress Ava Taurel, first when she worked with the equally memorable Belle De Jour, and later as an independent. At one of our last sessions she referred to her diary at the end saying, "This roleplay is different than the next-door neighbor fantasy of last year, but the activities are the same." That may have spooked some subs, but not me. If it helped the session, and I'm sure it did, I'm all for it.
6. About the experiences Mistress Cheyenne and Mistress Ayn described, a handful of Mistresses I became regulars with told me at some point over the years, "I have to take a break from this," because some of the subs they would see had plenty of dark emotions that would come out in session and be put on the doorstep of the Domina. Mistresses in some cases are like therapists, no question about it.