You have to define what you mean by "record"
MIDI cables (or MIDI over USB) 'records' not one and note off information , but no sound at all. THe MIDI information "plays" the software instruments and that's what creates the audio.
If you want the sound from the Clavinova, you have to take an analog audio output (line out, AUX out or headphone out) and pipe that into the MAc through an Analog-Digital conversion, either the microphone input, or an outboard USB or Firewire AD interface.
But the two -- the Clavinova's MIDI data, and the Clavinova's sound, are entirely separate things.