This may be another of those little things that the 2000 doesn't do exactly right. I haven't tried to initiate the transpose during recording and don't have the keyboard at home.
While the 2000 is a great value for the dollar, there are some shortfalls. Also there are some recognized bugs that have been addressed, and some that have not. I'm certain that are some that have not been discovered. Getting them addressed by Yamaha will indeed be a major problem.
Sorry you're having this problem. I can play in any key, but still use the transpose function because certain "licks" are easier to play in certain keys.
DonM