Generally, you'd refer to the entire box of components as the system, since the CPU is a device itself.
Normally, hardware devices in your system do not have auto-recovery ability. I don't know of any CPU with such a facility.
Some memory called ECC does have fault-recovery if it finds errors in data it's holding, but few consumer systems have this type of memory installed. It's normally found in commercial servers and runs slower than conventional RAM because it's always checking its data. ECC means Error Correcting. Of course, ECC memory can fail also in ways which disable its error correcting ability.
Again, some hard drives have built-in fault monitoring that will tell you when there's a writing or reading error - or if they're too hot or using too much voltage. All hard drives communicate their success or failure with R/W tasks to the operating system, which will inform the user. But by the time you get a clear message from the OS, such as a Read Failure, the damage done is often hard to overcome. That is, the data is already lost. Processes like Smartdrive, implemented in the BIOS and OS have some ability to warn a user before data loss occurs.
Often, the errors on the hard drive itself, on the "platter" which holds data, are marked off as being unusable. This is done sometimes automatically by the drive and OS working together, but most often by hard drive utilities which test each area of the hard drive and decide if it's reliable.
As for Auto-Recovery - it's a feature touted by Windows to help you get back to a previous good copy of programs and data if you've had a catastrophic event. This doesn't really recover new data, but it does enable you to recover old data that might have been overwritten by your own error or by faulty hardware or software. For example, if you were working each day on a really long document, and your RAM caused a fault that turned this 325 page paper into a 1 page sentence, Auto-Recover gives you a chance to get back yesterday's or last week's version of it. But you'd still need to re-write the new pages, and replace the RAM!