I did everything as the manual says under the title "Recording Digital Piano Play as Data Recorded in MIDI Recorder Plays Back (Audio Recorder)" like you said. Unfortunatelly, it didn't work. Is there any instruction video of it? Thank you for your help.
By the way, here what happened when I tried:
I pressed the midi rec button, it turned on.
I tried to play Turkish March by Casio app or by keyboard buttons and it worked. The problem started afterwards.
When Turkish March was playing I pressed the audio rec button. Turkish March stopped playing and the piano switched mode to the audio record mode.