VSE recording will happen on VSE server.
How to test it:
Do a recording in DevTest Portal and create a virtual service using the remote VSE.
After the recording is done, verify the DevTest_Home/vseRecording folder on Portal server and on VSE server. On VSE server, you will see VSE_2013 (where VSE refers to the name of the VSE) folder created or updated with the new recording information done in the Portal and you don't see any updated information on the Portal server.