The room it self doesn't record - the message is a warning and a disclaimer, though, because anytime you are broadcasting your webcam on the net, wether in the LPSG vid room, or via Yahoo or MSN messenger, software exists that can record the webcam stream.
So, when you are broadcasting, it's possible that one of your viewers is recording it. Realistically, most viewers either don't want to, or don't have the software to record your cam.. but it is possible.
So, LPSG (and the makers of the chat room), wanted to give you a heads-up on the possibility.
Hope that explains things!