The REW response is a result of IIR filters whose responses get close to the half sample rate limit, things will always get difficult as the limit is approached. If you generated your preferred filter as an FIR type (which it would be for linear phase) at the sample rate you use for replay then it should be fine.
I have changed the way REW produces those responses, since strictly it should just have a truncated response at 22.05k as the rePhase equaliser is configured with a 96k sample rate. There isn't a completely satisfactory way to deal with it, since the equalisers are usually running at a fixed sample rate so content may be resampled before EQ, but preserving the equaliser response is probably better.
I have changed the way REW produces those responses, since strictly it should just have a truncated response at 22.05k as the rePhase equaliser is configured with a 96k sample rate. There isn't a completely satisfactory way to deal with it, since the equalisers are usually running at a fixed sample rate so content may be resampled before EQ, but preserving the equaliser response is probably better.