Thanks for sharing a workaround. That is strange behavior indeed. Is this true for both 32-bit and 64-bit builds? Can you please submit a bug report at quality.embarcadero.com so that can process this issue through the QA and engineering teams?
The problem seems to be caused by BDSLauncher. Because the .groupproj file type is associated with BDSLauncher by default on installation, opening the file from Explorer invokes BDSLauncher first. I assume that this is somehow breaking the linker, or at least preventing the linker files from being created. (Could it simply be a file access problem?) I've now changed the file association for .groupproj files to BDS.exe and this seems to have cured the problem.
I have only observed this with 32-bit builds. I have not tried building this project in 64-bit as yet.
I have raised this already through QA with reference RSP-10344.