Hi lior,
I was probably missing a good night sleep or some coffe, because now it works.
Even better, I can now do this:
using (RecordExpectations recorder = RecorderManager.StartRecording())
{
global::Esi.FlexView.PL.Web.Security.Principal.RolePrincipal user = new global::Esi.FlexView.PL.Web.Security.Principal.RolePrincipal(flexViewIdentity);
recorder.CheckArguments();
recorder.ExpectAndReturn(user.Identity, flexViewIdentity).RepeatAlways();
}