Although I've made my machine multi-region, is will only allow me to simultaneously watch Region 2 discs whilst recording something.
I also noticed this problem with Region 0 (region free discs). Most of my music DVD's are region free, yet if I want to play them whilst recording a program, I get the message, 'this is prohibited'. Is this an oversight by Sony, or just a problem with my machine.

Can anyone else confirm this to be normal ?

Most such players can't record PAL when playing NTSC, or vice-versa. If your region-0 discs are US ones, recorded in NTSC (525-line) then yes, it's normal that you get that message when trying to record a UK (PAL, 625-line) signal. It isn't a region issue, but a video-format one, and not limited to Sony, AFAIK.