When pressing F12 in Studio, red lines normally appear around the window to indicate a recording is being made.
They show in studio and when playing the game inside the window. When clicking ‘run’ however, no red lines appear and it does not record.
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It seems to be only during a ‘run’ session.

no lines. Neither when F12 is pressed.
But when playing normally

It shows the lines

And same goes for when just in the window

October 18th Addition:
Just tried recording in-game today, but red lines are missing there too. Unlike in studio’s ‘run’ mode, the video was recording and did capture after pressing F12 again (though one of the recordings only saved the audio, even though it was saved as an MP4 file).