I ran into this problem myself. The only solution I have is to record the macro in an excel workbook first. Then, drag and drop THE MODULE from the open workbook into the add-in modules. This will be a copy of the above module, but the keyboard shortcut you assigned to it will thankfully persist.
I just record a garbage macro and move it in there, then copy the code from my real module afterwords.
Felt so great to figure this out, I felt like I had to reply to the 5 year old posts I found on the subject!!!