First and foremost ensure that you are using Chrome. Second, ensure that you have the RUM extension added to chrome and it is running. https://chrome.google.com/webstore/detail/dynatrace-real-user-monit/fklgmciohehgadlafhljjhgdojfjihhk...
In addition to Chad's tips, the way session replay works right now is many of the resources and images are re-loaded from the original source when you play it back. So what you're seeing can sometimes be caused by those resources no longer being available or being behind authentication.
For example if you're viewing a session in a QA environment but you're not on a network that can reach the QA servers. If you open network tools and see errors for things loading when playing it back that is a good indicator.
Either way though making sure the RUM extension is added is a good first step.