That looks right to me.
My next guess would be you don't have a section highlighted to record.

What are your From-Thru settings?
Are you on an available blank (Audio) track?

Do you have 'Record Audio too if track is a MIDI track' enabled? (can't record audio to a MIDI track even though audio signal would show in the input VUs ..

(there are few settings in Prefs that can affect what gets recorded when you hit record)

Something simple like that is likely the issue, then.
May be as simple as changing the selected Track Type to 'Audio' instead of 'MIDI'. (right-click the track and change type)
I think the default install makes new or additional tracks MIDI tracks (which won't record Audio), but this too can be changed in Prefs.


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