When doing a pre-migration check or copying objects, one of the following messages is displayed:
Sharegate supports the migration of record libraries in normal mode from version 5.9 and up and in Insane Mode from version 5.10 and up. The reason for this is that records are handled by SharePoint in a different way than regular documents. Instead of migrating documents and not setting them correctly as records, Sharegate warns you that it cannot copy them correctly.
Updating the version of Sharegate to 5.10 or later will allow the copy of records using all Sharegate copy modes.