Howdy, y'all, I'd been having trouble for a long time trying to get Microsoft Game Bar to play nice with Penumbra Black Plague, and I finally found a fix, so I thought I'd share it in case anyone else has this problem!

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When you first run the game, if you hit Windows+G, it will open game bar, but minimize the game. Then if you go back into the game, and hit Windows+Alt+R, Game Bar gives an error message saying it can't record at this resolution setting, and to set the game to fullscreen borderless.

Unfortunately, the game has no such setting out of the box, so you have to mess with of the games files.

go to your installation at Penumbra - Black Plague\redist and open default_settings, find this line:
Screen Width="1024" Height="768" FullScreen="false" Vsync="false"
and set fullscreen to false (it should be on by default)

Now also go to Documents\Penumbra\Black Plague and open "settings".

You should fine a similar line as the last one,
Screen Width="1440" Height="900" FullScreen="false" Vsync="false"
and make sure Fullscreen is set to false here as well.

Now, you may encounter one more issue - the game will launch, but it's cut off at the bottom of the screen, and as long as the game is running, your mouse cursor won't work outside the window. The solution I found for this is to set the resolution in the in-game graphics options to 1440 x 900 or lower. Next time you launch the game, the window should be smaller but also fully on-screen so you can see everything.