Check if you've set your LFS to record replays.
Options > Game > Multiplayer Replay Save > [not enabled - not stored] or [enabled - manual save] or [auto save - not recommended]
If it is set to [not enabled - not stored] it will not (obviously) record the replay; if you hit "2" it would display the message, "The replay was not being recorded".
Also, if you've set it to manual save or auto save BUT already saved a replay once, the replay will not be recorded from that point on. So if you've already saved the replay, but stayed on the server and later tried to save by pressing "2", you will get the message: "the replay was not being recorded".
So; either check your LFS options or check if you've already saved the replay once in that session.