When the replayer encounters a System.exit (or Runtime.exit, Runtime.halt) in the application under test (AUT), it stops itself together with the AUT. The reason is that the replayer and the AUT are in the same Java virtual machine, and when a System.exit is called, the whole virtual machine exits. However, the expected behavior is more likely to be that the replayer stops the AUT when a System.exit is executed while keeps itself running.
A possible solution for this is to use the SecurityManager to prevent the virtual machine exiting. The following is a link to the corresponding JDK doc: http://java.sun.com/javase/6/docs/api/java/lang/SecurityManager.html#checkExit%28int%29
A simple application with a System.exit.