My (admitedly dated, haven't worked with a recruiter in over a decade) experience is a little different. I had been working with a recruiter and heard about a job opening through a friend who worked at the place that was hiring. I went completely through the friend for the application, interview, and offer process. About a week after I started, I got called into my boss' boss' office and was asked about my relationship with the recruiter. I said: he sent me on some interviews, none of which worked out.
Apparently the guy, after I told him to stop looking because I got a job, went to the company I got hired at and said: hey, that's my boy! Because he'd done other work with them in the past, he shook them down for a fee. It translated into a bad memory about me for my boss' boss.
Here's my take on things: I don't like surprises, especially bad ones. I like to know potentially bad news up front. So: if you think there's something up/funny about the process, say something. You don't have to say it first thing, but say something before you leave.
"It's probably nothing, but ..."
That's not the kind of thing that would get held against you -- afterall, that's what they use recruiters for, and that's what you use recruiters for -- but if you get the job and something comes up later, it could be a mark against you. Full disclosure is the only way to end-run that.
Don't forget: your relationship with the recruiter is fleeting, but your relationship with your employer is (you hope!) for much longer. If that kind of thing colors any of your other interactions with your employer in the future, it's worth getting it right from the get-go.
IMHO, YMMV, etc.
/jordan