This appears to be a bug in v6.0 and later that only occurs when building all failure steps and the first failure step calls a subroutine. The following workarounds can be used:
1) Add a step before the Subroutine Call step (i.e., a Group or Log Message step) so that the Subroutine Call step is not the first failure step.
or
2) Add an Exit step at the end of the subroutine that is called from the failure steps.
http://www.kinook.com/VisBuildPro/Manual/exitaction.htm