The first time I used it, I did click on "Create" -> "Capture", did the download, and the black/white box did pop up in which I successfully recorded a video. The second time, it didn't prompt me with the download and just went straight to the recorder before disappearing somehow (every time I tried to download/open it again, it would give me an error). I do use Opera GX as a browser, though, which does automatically disable tracking and ads. I turned them all off, but still had issues.
And since you mentioned that it could be the browser screwing with it, I went onto Microsoft Edge instead out of curiosity and the Canvas Studio recorder worked right away! I guess it doesn't like Opera very much.
Thanks for the help!