The mic inputs are intentionally not routed to the Record output inside the mixer - it's nothing you are doing wrong!
The reason is that the Record output is taken from the same audio feed as the Booth output, and in a club environment it is not desirable for a DJ to get their own mic signal back in their booth monitor as this will give a much greater risk of feedback.
Therefore a special circuit, called the clean feed circuit, is included in the mixer to isolate the mic signals from the main mix until after the other signals are mixed to the Booth (and the Record) outputs.
If you're not in a club situation, there are several options for recording the mix signals with mic signals included:
1) Record from the Mix output - you can use a pair of Y-leads to split each of the main output XLR signals into two feeds; one for the feed to the amplifiers, and one for the feed to the recorder, using custom cables.
2) Record from the Aux outputs, combining the signal from the Aux outputs - most probably the Crossfade-to-Aux signal and the mic channel Aux send but in reality any blend of Aux pot signals.
This requires no custom cables or modifications to the mixer
3) Modify the mixer to remove the clean feed circuit. This is a quick and easy modification, but as it is a modification and may affect your warranty, so we recommend that this is done via your supplier or via an authorised service centre, to preserve your warranty.
This would mean that you do not have to use special cables or create a separate record mix using the auxes, and you will be able to use the Record output as you expect.