EPI Recording panel is not appearing after providing the Dataset name on EPI panel
According to doc:
After you have specified a valid data set member to store your recorded REXX EXEC, the EPI displays its EPI Recorder panel, and you are ready to start recording.
No Recorder Panel appears - ISPF display does not change - No messages
As he is a first time user, OPSMODE command processor is required to use the EPI recording.
Install OPSMODE Command Processor
If you are a former Automate user that still uses the Automate command processor, you must install the OPSMODE command processor.
If you are going to use the External Product Interface (EPI) Record and Playback feature, you must install the OPSMODE command processor.
To install OPSMODE, you can use the provided SMP/E USERMOD in member USERMODS of the OPS.CCLXCNTL data set. This member is a sample for installing OPSMODE under SMP/E. We recommend that the USERMOD be received and applied but not accepted.