An application does a Siteminder Login call and gets the cookie information in the response, then the application makes call to another domain with different cookie information and gets the valid response.
The cookie information returned in the Siteminder Login returns 4 set-cookie key value pairs.
VSE Recorder captured a 302 Response earlier because the second call (Preauth call) didn't have the valid cookie information.
DevTest cannot capture both of transactions in one recording. If captured in 2 recordings then the transactions will be stateless.
Capture the Siteminder login transaction and Preauth transaction, get the valid response from the Jmeter for the Preauth call and updated the VSI with that information. Then make the Preauth call as stateless and deploy it.
If you want to record transactions as a Conversation then try with RR pairs with the cookie information in Sidecar files or to do some Customization.