MIDI recording into phrases isn’t current possible.
However, you can always record something in the usual way and then copy/paste or convert it into a phrase by right-clicking in the pattern.
When you enter a MIDI command into the phrase, you need to put it in the last note-column. Same as with patterns.
But you need to take extra care, because there is a small bug in the MIDI+phrase implementation: when there is not a note on the same line, the MIDI command will be skipped. Solution? Add a note for each line - possibly with zero velocity, but it needs to be there.
So in order to output pitch bend, you have to add a note in the rightmost note column, along with M1 and the value. Repeat for each line…
PS: the bug I mention has already been fixed, so no need to report it.