Hello Joseph,
This behavior has just one reason - to make recording as independent as possible. If page supports basic authentication, we force authentication dialog so that recording itself contains all necessary information for playback. Then it does not matter what user account is used in player to run the process, recording still uses stored credentials and works. It requires less configuration of players.
In some cases page does not support this kind of authentication and then only way is to setup domain accounts for player. However, that is extra step that user has to do on all players so we are trying to prevent this.