After thinking about it while walking the dog and doing some more checking, it's not actually connected with any one folder at all; it's the camera type...
I can't save ANY file created by the D2Xs I owned for a year or two. Files from my D200 and the subsequent D300 and D700 are OK, as are files from my wifes original D70 and current D80. I've been able to edit and save these files in the past, but that was using PS Elements; I only converted to NX2 a few months ago, and this is probably the first time I've tried to re-access these older files.
Edited to add... Interesting - I just tried opening in NX2 a file from the D2Xs that I'd previously edited in PSE4, and was able to re-save it OK.
I presume there aren't any known compatibility issues between D2Xs files and Capture NX 2.2.2 ?