You did indeed find a bug -- if the Filename field of a COM Register action configured to unregister is not a valid filename (expands to blank or only a path), building the step will delete the aforementioned registry key.
The fix is to re-register all of the DLLs in the C:\Program Files\VisBuildPro6\System folder, which can be accomplished by reinstalling VBP or unzipping and saving the attached file in the above folder and double-clicking in Explorer.
As you mentioned, Rebuild Selected should not be used to build iterating steps such as Process Files (and children, although it should not result in the problem described above, which will be fixed in the next release). This FAQ describes several alternative methods for rebuilding iterating actions:
http://www.kinook.com/Forum/showthread.php?threadid=240