There's no way we can fix this, it's an FSX design limitation: objects created using Simconnect are not played back in replays.
The ability to create objects on the fly with Simconnect is what, specifically in case of KDFW, made the scenery possible in the first place, it couldn't have been done in FSX in any other way or, it would be like the FS9 version (no shaders, flat scenery, no elevated bridges, etc.)
It's not an FSDT specific limitation either. If you use a native FSX product, like UT2, which also creates AI objects on the fly, they'll too disappear during instant replays and so will any other FSX product that creates object while running using Simconnect.
The only solution to record videos is to use FS Recorder.