Hello Ken,
For your failing transaction - try to run recorder under local user account instead of your domain account. Player is using local accounts so there may be some permission or configuration issue. Best way would be to create local user account on the machine, run recorder under that account and see how it works.
As for your Azure issues - How have you deployed agents to those machines? Have you set any password for players? Invalid password should mean really invalid password. If you can't connect to the player, error should be more like "service not available". Are those agents in active (player initiated) or passive (server initiated) mode?