Which version of Captivate are you using, please? Since the UI has changed so much in CP8 this is an important detail. If you want to record software sim slides in CP8, do not use the File menu, but the Big Button 'Slides' and choose Software Simulation there. Confusing, I know...
Sorry, I didn't read well. The software simulation slides will use the Blank daughter master slide. Did you perhaps delete it, or edit it so that the screens are covered up by custom items?
That is quite possible, I have messed about a lot. I know I have created a master slide with a background image which it is using for the software simulation, so I may have deleted something I shouldn't whilst prodding around. How do I undo my meddling?
Try copying a blank daughter master slide from another project (same resolution). Maybe you'll have to change the name of the present Blank master slide that is messed up. And then try to apply the new (real) Blank master slide to the software sim slides.