The current Replace dialog is only regex search.
The text matching the regex pattern is replaced with the Replace with field literally.
The dialog should be improved to handle regex replacement as well. Replace with: would allow find capture groups to be referenced as $1, $2, $3, etc
For example, suppose I want to add square brackets around a sequence of consecutive digits.

Named capture groups should also be supported. For example:
Find: (?'digitrun'\d+)
Replace: [${digitrun}]
The issue of no captures in replacement goes back to at least May 2017. See this post in communities
Because EG uses Enhanced Editor, the improvement should carry over into Windows SAS DM sessions. If regex search and replace feature is not part of SAS Studio editor then that editor should be improved as well.