This is to demonstrate the issue for Partner Case 18583564 which was first posted to SFDX Trailblazer community.
Update from Salesforce:
"Here is the bug number for future reference W-4920690 to contact Salesforce for an update. We are not creating a Known Issue at this time since there are not multiple cases opened. Currently, we do not have an ETA regarding the fix but the bug is logged and R&D is working on the bug."
I replicated it and it is NOT working correctly. The scratch org I spun up was on CS60 which is running "Spring '18 Patch 16.2". Here is a screencast demonstrating that the issue has not been resolved: https://youtu.be/pZUzlJ0o-R0
I replicated it and it is NOT working correctly. The scratch org I spun up was on CS10 which is running "Spring '18 Patch 15.2". Here is a screencast demonstrating that the issue has not been resolved: https://youtu.be/lO62S1Wh5k4
Here is the initial video walkthrough of the issue and it's workaround: https://youtu.be/y27jtpOw5ME
sfdx force:org:create -f ./config/project-scratch-def.json -s -a test-edit-a-custom-metadata-record-0
sfdx force:org:display --verbose
# install managed-pkg-0 which is in namespace asldkjasldkfjas
sfdx force:package:install -p 10 -w 10 -i 04t46000000AKjrAAG
sfdx force:org:open -p "one/one.app#/setup/CustomMetadata/home"
# Setup > Custom Metadata Types > MyCMT > Manage Records > Edit MyPackagedRecord
sfdx force:source:status
sfdx force:source:pull
# Expect it to retrieve asldkjasldkfjas__MyCMT.asldkjasldkfjas__MyRecord but instead it displays
# ERROR: Entity of type 'CustomMetadata' named "asldkjasldkfjas__MyCMT.MyRecord" cannot be found.
Clone the customMetadata record in the scratch org and then sfdx force:source:pull will download the no-namespace version of the record into the sfdx project (e.g. asldkjasldkfjas__MyCMT.MyRecord.md-meta.xml). Rename the record to add the namespace of the managed package (rename asldkjasldkfjas__MyCMT.MyRecord.md-meta.xml to asldkjasldkfjas__MyCMT.asldkjasldkfjas__MyRecord.md-meta.xml) and then sfdx force:source:push will upload it back to the org.