Yes, they should be allowed to say what they will and will not discuss when they are being interviewed. Not everything is meant for the public to know about their personal lives. Just because they are celebrities doesn't mean that they don't have a right to personal lives outside of their careers.
Being a celebrity is not the easiest thing in the world. Especially when the whole world thinks that they should be a revolving glass door. I believe that everyone should be able to decline on any subject they feel is either inappropriate or just down right no one Else's business.
Celebrities should have a right to say what they want to avoid certain topics in interviews. They have the same rights to approach or avoid a topic as the rest of us. Because they have a public image to withhold, it is imperative for them that they be able to react according to their own wishes.
If a celebrity agrees to do an interview, then all topics should be open. Celebrities have the right to make the appearance or not, but they shouldn't run the conversation from beginning to end. I think celebrities need to realize that people in general don't have the right to censor what they're asked about. It shouldn't matter if a camera is on or not.