Full disclosure: I work at Microsoft, though not on the GameDVR team.
Yes and no: recording works but the UI isn't visible.
Games can run in three graphics modes which are relevant to GameDVR: windowed, exclusive fullscreen, and non-exclusive fullscreen (also called borderless window).
GameDVR will work in all three modes, but it can only draw its overlay ...
This was fixed for me by updating to Windows 10 Insider Preview Build 17723, but I understand if you don't want to do that.