Lazar Berman and Vladimir Ovchinnikov have very good recordings of the whole set, although I protested on Ovchinnikov being awarded the First Prize in the 1987 Leeds International Piano Competition.
Vladimir Ashkenazy also has a fine recording of 7 from the 12: Nos.1, 2, 3, 5, 8, 10, 11. It is in these Etudes that I would truly like to hear more from this pianist.