In version 17, Sidetone was present in the audio files, but it was synthesized in parallel and did not always match the actual transmission, which raised questions.
Install the latest version (18.0318). The manual (Contest->Audio->QSO audio recording) describes in detail how audio recording is done now. One of the reasons for creating RIG-Audio is to be able to create audio files that record both the receiver, transmitter, and even the paddle. You can choose not to use RIG-Audio and select the audio device "DAX Audio RX1..." (in New QSO settings), but in this case only the receiver will be recorded in the audio file, because unfortunately SmartSDR does not provide Sidetone on the computer side.