Status: The actual bug is that single levels should have their replays saved in the main Replay folder; so the load was behaving correctly, it was the save that wasn't. Fixed. :)
If you open a single level straight from the NeoLemmix.exe, and then press the load replay hotkey, it will access the Single Levels folder where you can find the replay.
However, if you open the same level from the test mode of the editor and press the load replay hotkey, instead of directly accessing the Single levels folder, you instead are at the replay directory (i.e. the list of folders for each game that you've saved a replay for), and you will have to go through the trouble of clicking on the "Single Levels" folder to access the replay.
That they were being saved into a "Single Levels" subfolder in the first place is the bug. Levels from a pack have their replays in subfolders; single levels should be in the main "Replay" folder.
And, that's been fixed for the next update. :) I saw this as a good opportunity to tidy up the code in general in the function that picks / asks the filenames for replays; it was a freaking mess.