Status: Fixed for next update.
When one builds an NXP file, the toolkit is meant to save the data (just as if you had selected "Save") before building. V1.06 (at least; possibly a couple of older ones too) does not do so - I think this behaviour may have been the case since the change from building EXEs to NXPs.
The workaround is to make sure you manually save the data before attempting to build an NXP.