Yes, that was exactly what I performed.
In my case, Lion was not amongst the items listed.
I've reported this on another thread (
here)
...which also failed for me. I still need to upload the photo of the screenshot, which has an error message of:
"Can't download the additional components needed to Install Mac OS X."
This appeared after it verified my Mac's Serial# and had started to download.
The (limited) good news is that I did find some instructions online on how to go into the Terminal to mount the 'Recovery HD' and reveal the hidden files which includes the .dmg Even so, it doesn't seem to be resolving itself to my satisfaction, which would be a fully bootable DVD or USB with a Lion installer.
I did find that Time Machine restore works ... okay. Its result is neither a clean install nor a true restore, as evidenced by right after I rebooted on the 'new' drive, MS-Office popped up to tell me that my copy wasn't registered...
-hh