I'm not sure what type of recording software you've tested, but the best way to capture OpenGL or DirectX action is with a recorder, that injects itself directly into the game.
For my
Let's Play and other in-game recordings, I've been using
PlayClaw and it's working quite well, even with
sf::Style::None.
Well it works with the style set to Default, only wish the frame-rate didn't drop.
The frame-rate will always drop, since you'll have to interfere with the graphics output. But by injecting itself into the game, the recording software puts itself between the game and output and thus reducing the frame drops to a minimum.
There are of course also other applications (unfortunately none of them are free nor open source and also Windows only):