borntobesting: it all depends on the ball you were using when you made the shot that the replay shows,If a vapor ball used you will have a vapor trail in the replay if a regular non vapor ball was used you wont have a vapor trail in the replay, I watched a couple of each after reading this thread vapor ball had a vapor trail in the saved replay a normal non vapor ball did not.
I'm pretty sure in the past that the trail was active in replays for any type of ball you played with. If the vapour trail in replays only worked where the shot was made with a vapour ball, then that option in the settings would be completely pointless, as the trail is still there when you set the option to off.
I'll also point out the blurb at the bottom of the options window pertaining to the replay trail...
...I take that to mean you had a trail from the club head to where the ball finished, in its entirety, and not fading out behind the ball as it went. If you look for some recorded replays on YouTube, you will see that this is the case.
(Hope you don't mind me using your picture Zio.)