Status: Bug introduced in V1.37n. Has been fixed in source code; so will not be present in any releases after V1.37n.
Suggested workaround in the meantime is to either use manual replay names, or to continue using V1.36n for testplay / single level play (there are no physics changes, although this does mean you won't get the new info panel).
Any replays saved during play of a single level - whether via loading a single level from the Load File dialog (or drag and drop), or editor's test play mode - are always saved as "TEST MODE_01.lrb" (with timestamp if appropriate). Desired behaviour is to save them as "<level name>.lrb" (again, with timestamp if appropriate).