Due to the way that the categories are set up for CV2, it's a bit tricky to get the world record to show up properly in your splits. Here's a quick guide to get it working:

Open the category you want to set and select "Edit Splits..." Select "NES" as the Run Category ("Famicon Disk System" if you are running an FDS category) Click on the "Additional Info" tab above where your splits are Select the correct Region and Platform Select the actual category you are running from the subcategory list Click OK Livesplit should now load the correct world record from speedrun.com