Yea - it's how the tagging and playback works.
If you tag something, it'll instruct the server to keep a log of everything you sent and received. If you play it back, it'll simply read the log, pretending to have sent / received stuff to the server just as at the time the log said you sent / received it. It doesn't actually record a video.
When you skip in the playback, it'll simply skip over everything until the point you tell it to, including stuff that would tell it that you no longer have the cheese. Hence it shows you with the cheese, at the point you skipped to.
The only way to completely accurately show what you saw is if you don't skip at all. :)