What didn't make sense was them saying they couldn't replace them.
That's like a gunslinger saying he'd never ever ever be able to get more bullets for his gun, despite going to trading posts where they sell bullets. And he had money for them.
Not … really. I mean, why should anyone in the Delta Quadrant know how to make photon torpedoes?
First, they're a weapon developed in the Alpha Quadrant, inspired by whatever inventors had thought them up and whatever economic and military factors led them to being useful. There's not much reason to think that a completely independent science would develop them unless they're a blisteringly obvious byproduct of, say, warp drive or whatever. They were in a part of space where replicators were unknown; how could they guess whether whatever technology provided photon torpedoes was available? (Heck, what if photon torpedoes follow from replicator technology?)
Second, even if something like a photon torpedo is inevitable, there's little reason to think anyone in the Delta Quadrant would have, or even might be able to make, one that fits Voyager. Photon torpedoes are part of a system, and the torpedoes and the torpedo-holding and torpedo-launching systems have evolved together for centuries and which have been optimized for each other.
The gunslinger can expect to buy bullets for his gun because he's likely to be going places that have guns, and because his gun doesn't need bullets that are too finely matched to the particular design of his gun. But even there, if the town doesn't make bullets of a suitable diameter or length, they're useless. And the higher the technology the tougher the match is.
Given enough time, and a suitable industrial base, Voyager could probably trade for photon torpedoes, given time and a trustworthy partner. Could make an interesting story finding such.