If you replace steps 2 and 3 and add "All Nearby Spawned Actors" first, and then add the Source of "Level Sequence", the animation of the first shot will also be recorded.
1. Open "TakeRecorder_test_Pawn.umap"
2. Add the Source of "Level Sequence" to TakeRecorder and specify the Level Sequence of "TakeRecorder_Pawn".
3. Add a Source of "All Nearby Spawned Actors" to TakeRecorder.
4. Start PIE and press the Record button of TakeRecorder.
5. When TakeRecorder_Pawn finishes playing, finish recording and exit PIE.
6. Check the animations saved in the "Cinematics folder", the first shot of the animation is not recorded.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-120078 in the post.