Edit: it doesn't at the moment. At least there's no menu option that I can see on Firmware 1.5. I would like to hear if someone has it working, because it's a very useful feature.
Pressing two buttons and a chord at the same millisecond is impossible.
What you want is BIP-bip-bip-bip, BIP-bip-bip-bip and then record.
Option to continue clicking once you record because it can be in the way, f.ex. live recording .
It would be very nice if such a feature was added in Firmware 1.6 :)
Otherwise the JD-Xi has a very intuitive sequencer.