One of the reasons this may not work is if the user is a member of a user group for which the Option to On the user group the "Applet record warning" setting was set to "no".
To enable it, please do the following
In this case, RDP and SSH applets will not show the warning message, but the Putty service will continue to display it.
This may happen for instance if the user is part of a group imported from LDAP.
If you want to have the session recording enabled, toggle this setting to Yes.