I'm also in camp "it depends."
If you were invited over for a marathon and dinner, then no, you can't ask to change the channel, because you accepted the invitation.
If you were invited over for movies/TV and dinner, and you forgot to ask what show, I think it's best to bring it up as soon as you realize there's problematic content. Ask for a warning before X happens, find out if they have something else recorded, whatever. If not, apologize and make your excuses.
If you were invited over and they pop in a show or a movie, I think it's okay to ask whether you can swap out something more uplifting after the first episode.
If it really is problematic for you to the point of being a trigger, look the other way, leave the room, cover your eyes… whatever it takes to protect you. Wait until a logical stopping point and say, "Hey, I'm sorry, but this is really getting under my skin. Can we watch/do something else, please?"