I finally found the solution! The problem occurs because the new Windows build 10586 (November 2015 update) has a new driver which doesn't support this feature.
Please follow through:
1. Make sure that that the Xbox DVR is turned off in the Xbox app (otherwise you get the DVR when pressing the Xbox button)
2. Install the Xbox 360 Gaming software 1.2 (That's the Windows 7 version 32bit or 64bit) and restart PC.
3. In device manager under 'Xbox 360 Peripherals' double click 'Xbox 360 Wireless receiver for Windows'
Click the 'Driver' tab and click 'Update Driver...'. Click 'Browse my computer for driver software'
Click 'Let me pick from a list of device drivers on my computer'
You will see (at least) 2 drivers listed here. Click...