So every replay that I save, this hero appearance bug happends:
Who ever makes hero 1st watching replay, his hero has alternative skin from Collection, while in original play he did not have that skin selected.
While me who have skin from Spoils of War, in replay my heroes just look regularly because I was 2nd who made my hero, and even if I was the first one, skin would be from Collection and not Spoils of War.
I did not pay attention to 2nd and 3rd hero when produced by me and other player, but this first hero appearance bug is enough I guess to be something looked into and try fixing the issue.