That (file save dialog) is normal too when you are not using a project folder. You only establish a project folder for a project when you use New Project > Start. If you are not using a project folder, the program does not assume that you want the audio recorded in the same folder as the project file: Some people like to keep documents, audio, and videos in separate places. Not to mention that you can click Record Audio without even a project saved! There is a volume button in the player controls where you unmute:
A single click shows the volume slider. A double-click effectively toggles mute.