Yes, on Pixel devices all screen recordings will be saved in the personal area. The responsible app acts like any other 3rd party recording app in the personal area, provided that screen recordings are allowed.
I don't use native screen recording on Samsung devices because the video recording always stops as soon as you switch between the personal and work context. However, the videos end up in the correct area. But if you're recording a video for a bug, this is super counterproductive. Since the app launcher belongs to the personal area, the recording always stops when you want to switch between work apps. The default setting on Samsung, for example, is great for strict data separation, but usability suffers as a result.
Prathikis definitely right if you want to record a single Work App with a Pixel device. The video should be saved in the Work Profile.
However, where videos that record both personal and work data should be saved is an interesting question. All the better if it is a known issue and Google is already thinking about it. 😋