I observe the same problem. I guess that the problem is the March '12 release of v. 2.2, since that feature works fine (same .a2w file) with the older (December '11) release. There's nothing in the release notes that even mentions the March '12 release, let alone suggests a reason that the penguin record function might stop working:
http://www.alice.org/index.php?page=...ease_notes_2.2
I hope someone from the Alice team can fix this right away, since our classes start in less than two weeks, and it's awkward to have to try to explain away such inconsistency (between the tutorial instructions and the actual behavior).
As a workaround, i guess one could roll back to the older release, but that's ugly, and might break something else (including whatever it was that motivated the version-up from last year's v. 2.2, including compatibility with Lion).
Michael Cohen
mcohen@u-aizu.ac.jp
University of Aizu
Aizu-Wakamatsu, Fukushima
Japan