I think he means that in single player games, as soon as you play the replay the game is over and you can't continue from where you were.
The thing about the replays is that they're not like video recordings - LFS calculates the physics every time, as if someone was playing. That would make it kind of difficult to go from real player to "virtual" replay player, then back to real player again afterward.
The replay system isn't fantastic, the only real application it has is for improving lines and as has been said above - entering hotlaps