Status: Fixed for next update.
First make sure that there is no "Replay" directory in your NeoLemmix folder. Then load a level in the editor and play it. If you now want to save a replay, the game gives you an error message "Replay directory not found".
If you load the level directly in the player, everything works fine.
Seems this bug disappeared as a result of the rewriting of replay filenaming code done to fix this bug (http://www.lemmingsforums.net/index.php?topic=2423.0). So... yeah, fixed. :)