When you replay in Fs2002, the plane looks at first exactly like it was when you left the playing mode. So if you retract your gear after a takeoff and want to see your takeoff roll, the plane will appear without gear, but will attempt to deploy them. If the ground doesn't allow the gear to go down (happens sometimes) the gear will remain half deployed until the aircraft is airborne, where the gear will deploy properly, until it reaches the altitude where you pulled it up again, which it will do...
in other words: in replay, the plane looks as you left it in play mode, but goes back to the original state by deploying/pulling up gear right then and there.
regarding the plane sinking inside the the runway, that might have to do with a high sink rate pre-touchdown. always watch your Vertical Speed Indicator, as you might not feel that you are actually sinking too much and will break the gear.
If this is not what your are talking about, then it might be the graphical problem, I've seen this sometimes..