I think Windows is searching for this NLDR-folder in <CD_Root>\I386 But the folder is now in <CD_Root>\OS\XP\PRO\I386 But I don't know. Maybe you should ask somebody in the official nLite-Forum. Or wait until anybody answers here.
I don't quite understand the use? Considering WUD allows you to choose only one update at a time and now it even lets you know which ones you've already downloaded. Thanks for your reply