Load traffic is not captured when using an existing web test with BaseURL set in the settings of the Project.
Here is a short video demonstration of the problem: http://screencast.com/t/3tj1TsX03JLY
Actually there is an internal build from 17 Feb, which has the fix. We are planning to release another, more stable, internal build this week.
Which isn't out yet...right?
The problem is fixed. The fix will be included in the upcoming minor and major releases.