I checked out that link, and from where it starts -- about 10 minutes into the video -- that is not loop recording. All that's going on there is that the keyboardist started a background style, which went through its preprogrammed intro section, then on to one of its main repeating sections, while the keyboardist played a melody on the right side of the keyboard. The style is a kind of loop, but it is a prerecorded loop -- not something that you can change or add to on the fly.
What I think the original poster was looking for is the ability to have a looping section of music that repeatedly adds whatever you are playing into the loop, making it sound more and more complex, up to the limit of the keyboard's polyphony, and as far as I know, the PSR-EW410 does not have that capability. In this video, nothing that the keyboardist was actually playing was being added into the looping background instrumentation.