I know this is a common problem, but none are the same as mine so far. I have the replay turned on but no HUD so I don't know when its active, i also get a black screen that pulls me out of a game then puts me back in with no controls available except to alt tab out then back in. This really frustrates me as I want to be able to record some good game-play but cant.
Depends on which game you're having issues in.
@rabid_narwhal - You mention a black screen that pulls you out of a game, is there a pop-up or error of any kind that might be happening?