Cannot find DReplay.exe for SQL Server 2019
After much more googling and even speaking to Microsoft People, I found out that they have very quietly discontinued it partially.
Which means you do get the &quot;Distributed Replay Controller&quot; and &quot;Distributed Replay Client&quot; but there is no cmd utility &quot;Distributed Replay administration tool&quot; available for SQL Server 2019.
After a lot more research I found the tool which is much simpler and easier to use.
WorkLoadTools

It is a very lightweight application, no installation is needed.
Setup takes 5 minutes as compare to quite a few hours for MS Distributed replay
It uses Extended events to capture only the data that is needed for replaying, therefore the trace file size is much smaller.
You can capture events on Production and replay on client in real-time.
You can also capture a trace on Production and replay on client later.
There is reasonable amount of documentation on it as well.
Plus the guy who wrote this beauty, @spaghettidba is very helpful and will respond to your queries and help you to sort out any issues you may face.

Give it a go and you wont be disappointed.