yeah, I've ran into that a few times, its no bug
Thing is, a replay is just reasigning the attack target, nothing more. The Attack was already declared, a replay does not redo the entire Attack sequence, only the target (or if they want to continue attacking)
in short
1, Attack Declaration
2, pick attack target
3, CotH causes Replay, Redo step 2
4, Player picks to continue attacking the new target, Attack was already declared before TER hit the board so TER does nothing, also too late for Mirror Force, etc.
there is NOT a new Attack declaration, so things that stop Attack declaration (like TER) or Trigger on them (battle traps ie Mirror Force) will NOT work.
that said things that trigger on BEING ATTACKED can be activated (ie, Maiden with eyes of blue)
so no, you are basically doing the equivlent of activating Threatening Roar AFTER the attack was declared
if you want TER to stop something, activate Call when they enter battle phase, before an attack is declared
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