If you change the release rate during the very first frame even before any lemmings come out of the hatch, it won't be saved to the replay.
Happens in NL version 11.15.21
The bug was not in saving, but in reading the replay file. This was fixed in version 11.15.22, so please download the latest version (which is currently 11.15.23). If it still happens in 11.15.23, please tell me and I will have another look.
It works fine in the latest version. Thank you! :)