I just tried to record a macro while using the Evaluate Formula window (found on the Formulas tab, in the Formula Auditing section.) Nothing was recorded, beyond my selecting a cell.
Do you create these training sessions ahead of time? If so, perhaps you could take screen shots of the formula window. If you do real-time training with unplanned formulas, you're going to need an Excel emulator, in my opinion. I'm not aware of any such product.
One of the things I love about John Michaloudis (MyExcelOnline), is his beautifully rendered gifs. Check out this one, for Index-Match. (didn't want to hot-link.)
Actually, this gives me an idea for you to try. Excel has a setting that allows you to toggle between the cell contents and the formulas! You could make the cells as large and wide as you want. The keyboard shortcut is Ctrl+`