It does seem to me that one can do better in some circumstances by using Davenport's Lemma after all. We recall (see Davenport's On a principle of Lipschitz): for $B$ convex,
$$ \bigl(|B\cap\mathbb{Z}^n|-\mathrm{vol}(B)\bigr) \leq \sum_{m=0}^{n-1} V_m,$$
where $V_m$ is the sum of the $\mathrm{vol}(\pi(B))$ under all projections $\pi$ obtained by setting $n-m$ coordinates to $0$.

Let $B = R (A S + \vec{b})$, where $R(x_1,\dotsc,x_n) = (x_1/r_1,\dotsc,x_n/r_n)$.
Then $|S\cap L| = |B\cap \mathbb{Z}^n|$, and $$\mathrm{vol}(B) = \frac{\det(A)\cdot \mathrm{vol}(S)}{\prod_{i=1}^n r_i}\leq C^n n! \prod_{i=1}^n \frac{N_i}{r_i}.$$

Now, the ($m$-dimensional) volume of $\pi(B)$ for $\pi$ a projection obtained by setting $n-m$ coordinates to $0$ is at most $2^{m-n}$ times the sum of the $\mathrm{vol}(\pi(R P))$ over all $m$-dimensional sides $P$ of the parallelepiped $AS$. It is clear that $\mathrm{vol}(\pi(R P)) =\mathrm{vol}(\pi(P))/\prod_{i\in I} r_i$, where $I$ is the set of coordinates that $\pi$ does *not* set equal to $0$. We know that $\mathrm{vol}(\pi(P)) \leq \mathrm{vol}(P)$ because, in general, (orthogonal) projections do not increase volumes. We also know that
$\mathrm{vol}(P) \leq \prod_{i\in I'} C n N_i$, where $I'$ is the set of indices that vary as we traverse the side $P$. (Here $C n N_i$ is an upper bound on the
length of the image under $A$ of the side $(N_i,2 N_i]$.) Hence
$$\textrm{vol}(\pi(R P)) \leq (C n)^m \frac{\prod_{i\in I'} N_i}{\prod_{i\in I} r_i}.$$
We are summing over $\binom{n}{m}$ projections and $\binom{n}{m}$ sides. Thus, the contribution of a given $m$ to the right side of Davenport's Lemma is at most
$$2^{-n} (2 C n)^m \binom{n}{m}^2 \cdot \frac{\prod_{i=1}^m N_i}{\prod_{i\in I} r_i},$$
where we assume that $N_1,N_2,\dotsc$ are sorted in decreasing order, and $I$
is the set of $m$ indices corresponding to the $m$ smallest values of $r_i$. We sum over all $m\leq n$, and, obtain a total of
$$\begin{aligned}
2^{-n} \sum_{m=0}^{n-1} (2 C n)^m \binom{n}{m}^2 \cdot
\max_{|I|=|I'|=m} \frac{\prod_{i\in I'} N_i}{\prod_{i\in I} r_i}&\leq
\frac{(C n)^{n-1}}{2} \binom{2n}{n} \cdot
\max_{|I|=|I'|<n} \frac{\prod_{i\in I'} N_i}{\prod_{i\in I} r_i}\\
\lesssim
\frac{(2 C n)^{n-1}}{\sqrt{2 \pi}} \cdot
\max_{|I|=|I'|<n} \frac{\prod_{i\in I'} N_i}{\prod_{i\in I} r_i}.
\end{aligned} $$

We conclude that $$|S\cap L| \leq C^n n! \prod_{i=1}^n \frac{N_i}{r_i} + O\left( (2 C n)^{n-1} \max_{|I|=|I'|<n} \frac{\prod_{i\in I'} N_i}{\prod_{i\in I} r_i}\right).$$
That doesn't improve on the original bound in full generality, however (except in so far as it replaces $(4 C n)^n$ by $C^n n! + O((2 C n)^{n-1})$.