This definitely requires contacting support, if you have not already. I've had a similar issue when testing a fat client, which would kindly terminate itself when I tried to record it via QA Load. Our issue was due to the fact that QA Load tried to run the client application in debug mode, but the client application did not appreciate that. Compuware should point you in the right direction if that is the case.
I had a similar problem when working in SSL. Un selecting "Use TLS 1.0" in browser settings (under Tools\Options\Advanced\Security) fixed it. This is applicable only if you are using SSL (https). Record takes the browser settings from the default browser and does not like TLS 1.0. This is also mentioned in the QALOad manual.