The issue only happens first couple of times and then it fixes itself, previously it happened when I used "Create a share link", both times it closed another application that is completely unrelated to the Steam replay, Steam and game. This time it closed same application when I pressed copy to clipboard.

I looked into windows event viewer and found the error logs related to this:
Faulting module name: ntdll.dll, version: 10.0.19041.5794, time stamp: 0x3af2a74f
Exception code: 0xc0000374
Fault offset: 0x00000000000ff3c9
Faulting process id: 0x42f8
Faulting application start time: 0x01dbe77aa66591b7
Faulting module path: C:\Windows\SYSTEM32\ntdll.dll
Report Id: d5fd2bdd-446a-4267-bca0-cf52a6a33853

I'm not exactly sure if it's your issue or another application's but every time it happens when I'm doing something with steam replay