User Settings → Clips → toggle it off...
Per the FAQ "Clips" is a way to Shadowplay-style record a clip from a Discord stream. On its face not the worst feature they've implemented in the last week1 but uhhhh hey guys why did you default to letting people record me without even letting me know they COULD record me?
[EDIT] to add cool and helpful further sleuthing from @CrillWave: apparently Clips has existed for awhile now but as of this chost's creation is exclusive to Nitro+ users (not to be confused with Nitro Classic users, who also do not have access to it). If you don't have Nitro+ and haven't encountered it in the wild, this random mystery option defaulting to "yes I am cool with being recorded" might be how you find out about it. But it doesn't give any context for what Clips is or how it works (I had to independently find the linked FAQ) so all you get is a mystery "I love being recorded" toggle and no further info. 👍🏽
Meaning if no one in your calls has ever had it enabled (i.e. you were never able to be recorded in a Clip), you won't have ever seen a notification about it.
It'd be nice maybe to put a blurb mentioning that in the settings page here. Capturing a Clip is Windows-only and requires Nitro, so a significant amount of folks don't have the option at all currently.
Of course remember internet safety 101: someone can always be recording without your knowledge as long as you're in a call with them, Clips just makes it more convenient (and more easily fetched / acted upon by support in case of trouble) and, with this new setting, opt-outable vs prior manual clipping options.