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.