The answer is always "it depends." The law likes to use the word "reasonable" a lot. Is it reasonable to assume Wal-Mart is filming you? I think so. Is it reasonable to assume that a roadside vegetable stand is filming you? I don't really know.
http://www.detectiveservices.com/201...ecording-laws/
Utah – An individual legally can record any wire, oral or electronic communication to which he is a party, or when at least one participant has consented to the recording. Consent is not required for the taping of a non-electronic communication uttered by a person who does not have a reasonable expectation of privacy in that communication.
Legal concerns aside, I would consider the sign to be the polite thing to do anyway.