In my second from last full game on 1.16rc10a I played the CSA and when I look back in all the saves there are both USA and CSA replays for all the saved turns of the game (the last year).
In my last game in which I played the USA there are only USA replays
In the second from last game I'm sure that I loaded the US's side at least once to look at the orders, but in my last game I don't think that I did, so it may very well be that if you never load the opponents turn that replay files are not generated.
But that begs the question of what happens if you are hosting a PBEM game. In that case you don't load your opponent's turn either and he aught to be getting a replay file back along with the .trn and .hst files. I would have hoped to have heard some complaints about it were not the case.
Then again, the game might recognize that the non-hosting player's .ord file is imported and therefore generate a replay file for the non-hosting player.
In one saved game from 1.16rc9 half way through the game the opponent's replay files were not generated. But that was a game that I copied from another save and continued with it to test something.
So it may very well be that the game doesn't generate replay files if you are only playing vs Athena and never load her orders.
The simplest solution would be to always generate a replay for both sides regardless of what is otherwise going on with the game.
One for the devs I guess.