Recording of scripts for automation is not performed in the Oxygen IDE. Rather, the automation recording is achieved using Appium Desktop, which supports creating scripts for Oxygen. Recording on Appium desktop is explained here Recording a test on Mobile
In order to be set-up for recording and executing tests on windows desktop, you would need to follow the same steps as you would for the getting started with Mobile testing, namely installing our customized version of Appium Desktop.
When defining the Capabilities parameter in Appium Desktop, it is recommended / required to add the capability definition
For example here is the capabilities as would be used inside Appium Desktop