The behavior of rebuild selected to ignore build rules, completion status, etc., is by design. It is an ad hoc method to build the selected steps regardless of these conditions. See
http://www.kinook.com/Forum/showthread.php?threadid=927 for more details.
There is no need to use the Process Files step in conjunction with a Copy Files action, since the Copy Files action has recursive processing of include/exclude masks built in. Just copy your settings from the Process Files step to the Copy Files step, and remove the Process Files step. This will be much safer than having a deleting Copy Files action that specifies no include/exclude values.