This problem has to do with the way the .NET FolderBrowserDialog [1] was implemented in relation to how VBP's COM threading works. The FolderBrowserDialog must execute from an STAThread (single threaded apartment), but the VBP Builder component (which instantiates custom and user actions during a build) runs in a MTAThread (multi-threaded apartment). Unless this limitation has been lifted in a .NET Framework SP, I don't believe there is currently any workaround.
One alternative would be to convert your user action into a regular .NET application that invokes VBP after all inputs have been captured, ala the ObjectModel\CSharpClient sample.
[1]
http://groups.google.com/groups?q=fo...-8&sa=N&tab=wg