@JuliaWu: This feature is not supported today. You can contribute and suggest this feature here: https://aka.ms/wvdfbk - explain a little bit the scenario and why it is helpful. Others will be able to vote up your idea.
@JuliaWu it is indeed possible. The best solution for this task is Ekran System. Ekran is an official Windows Virtual Desktop Partner and its Windows Virtual Desktop (WVD) session recording functionality was tested by Microsoft experts. You can find more information here https://docs.microsoft.com/en-us/azure/virtual-desktop/partners#ekran-system
