At the moment I'm playing ONML through Lemmings For Windows, and it's quite buggy. While it has action replay (replay the game in the way you did, and resume normal play from any point in AR), a selecting cursor so you can select a Lem by the direction it's walking, and a fast-forward button, I'm having enough problems with it to ask you:
Is there a patch??
(Bugs: Lems can walk over the top of the playfield, so there's no "ceiling". The cursor will often select a Lem that's not actually in the cursor. And the game jams often, closing itself down and not saving any progress you made in that session.)