It sounds like an issue with Visual Studio when building from the command line (what the Make VS.NET action ultimately invokes to actually build a solution or project), since VBP doesn't process VS project build events itself.
By default, the VBP Make VS.NET action uses MSBuild to build VS2005 projects/solutions. Building in the VS2005 IDE is actually more like building with devenv.com from the command-line, which the Make VS.NET also supports and might work when MSBuild doesn't.
http://www.visualbuild.com/Manual/vsnetoptionstab.htm
If that doesn't help, you can check the 'Display command-line...' checkbox on the Options tab, rebuild the step, then copy/paste the msbuild/devenv command-line from the build output when opening a support incident w/ MS regarding the issue.