I'm using my macbook with an external screen connected via HDMI (its a macbook pro retina 2013).
(Also I'm using an external USB dirve connected directly to the left USB port. I dont know if this is related to the topic).
Scheduled recording works only when either
the monitor connected to HDMI is on and not in power saving mode
the macbook is opened so that the internal screen is on.
If I want to do scheduled recordings while I'm sleeping in the same room I open the mac then I switch off the external screen, the I use the F1 and F5 keys until everything is dark.