Unfortunately we ran into some limitations on Windows that meant we couldn't deliver that particular feature. We're working with Microsoft on it, so hopefully we'll be able to bring it to Windows in the future.

Thanks, Andrew (Adobe).

Hi Konrad, please upvote the feature here: https://adobexd.uservoice.com/forums/353007-adobe-xd-feature-requests/suggestions/18890884-record-video-from-preview-window-on-windows-like

Adding to Andrew's answer, there is a workaround: you can launch a recorder by using the Windows+G shortcut key.