Why doesn't the f8 SQL Recall not store DMLs

You're welcome.

F9 is almost always preferable to F5. The only time you should really use F5 is when you have multiple statements to run one after another

But you aren't the only one who hits F5. I can see how users might use one or the other for certain things and seems more or less the same. I wrote have a F9-vs-F5 rant a while back. I forgot about SQL Recall when I wrote it. I just updated it.