It looks like the file is written correctly, but please check your filename formatting (under Advanced settings), because it doesn't have a proper filename.
The filename is '.mp4.mov' - you shouldn't put the file extension in the formatting field because it will be added automatically depending on your container.
I'm not a Mac user, but I assume it's the same way on all *nix systems where files beginning with a dot are hidden, so that's probably why you can't see it.
Start a Terminal and type 'ls -a' on your desktop and the files you've been recording should be there :)
