Dialog boxes not being captured

I just ran a screen capture session and it seems a dialog box did not make it into the capture. I was capturing the action of creating a new file using some app. When you click File -> New, the target app opens a dialog box where you type a name for the file, select a path, etc. The trouble comes in the capture recording. It captures the actions, like the button presses and text entries, but the actual dialog box is invisible. You just see the main target application. Am I missing a setting?