Record Screen for Try Mode with NO Feedback Layers?

You can't turn off the feature, as it is the way the feature is designed. The layers are only available via the triggers. So you can disable the triggers that are created (in SL360) or use those triggers and just redirect to what you want to show. This way you don't need to delete the layers.

Another option is to do your own screen grabs. You can go to insert picture>screenshot.

If I was using my own screenshots I'd use something like Screentogif (a free app) do a gif recording of your steps and then delete duplicate screens. Then export as individual images. That would give you all of the core screens and only have to do a single capture.