You would be intentionally conflating two different definitions of the homograph "may" (i.e. permission "you are allowed to X" versus possibility "X might happen").

You could argue that "any reasonable person" would have interpreted the "may" in that statement as giving you permission to record the call for training purposes (as opposed to letting you know that your call might be recorded for training purposes), but I wouldn't want to be in you shoes when you try.

Just tell them that you're recording the call too, and sidestep the issue entirely.