. You can save the cut scenes using general capturing software so please try and save those favorite cut scenes.
I'm not 100% sure I buy this @ least in true full screen mode. Unless your video capturing software has direct access to the direct x buffers your only going to be able to record a black screen (Something like fraps will but others that are free might not). I know because I made a image capturing program I use with XIV but it wont' work in true full screen because they draw to a special direct x buffer that is offscreen. You don't normally have access to this buffer unless you modify your direct x files afaik. I believe it was/is the same situation in XI and with any other full screen game that uses this style of buffering.

It's been awhile since I've tried though things may have changed. You can easily check if you try and do a windows print screen capture in full screen.

P.S. If someone does know how to access this buffer without modifying direct x feel free to point me in the right direction