The best solution us to turn off eveything before you unplug them. Even if you do not unplug them, the recordings will safely stay and won't be lost but best thing to do is turn both off and unplug them before turning off the power.
Once the power has been restored you can plug then back in and turn them on!.
The devices are suposed to be resiliant enough.. But then again, you never do know.. the sudden stop of the drives when writing, etc..
Its one reason i did put a UPS on my TV/PVR/Expander.
Overall, i would turn off the PVR as much as you can.. not being ON so its not writing anything your watching live. (and not when recording something). Then uplug the PVR. With it not accessing anything the expander drive should be pretty idle. Then unplug the power from it.
Then when setting back up, personally i would. Plug in the expander power and into the esata.