I'm not with DirecTV but Iceberg is absolutely correct. "The DVR doesn't care". I never paid for HBO and still have in my DVR an HBO documentary about Ted Williams from when Dish had an HBO free preview. I believe that's the same despite the service that you subscribe to.
I also had episodes of Terriers that were watchable in my Dish DVR while FX was dropped for the last month. I bet it's the same as canceling a premimum service, and you paid to view the episodes that you did DVR.