I was struck with silly problem. When i was acces the page manually, my left menu links in the frame are displying properly. But we I try to record using LR8.1 FP3 SP1 , my left menu links are not diplayed. In both the cases, content in the page displayed properly.
Does the site use certificates. I've encountered issues in the past where an untrusted or a bad certificate will give me a "page can't be displayed" message only when recording.
If you've imported the certificate and trusted the site, and the application allows browsers other than IE give FireFox or Opera a try manually. They are far less forgiving than IE and often will not allow the page to open.