So...back from holiday and made a quick test environment:
1) created 2 folders e:\test1, e:\test2 and put neogeo.zip into e:\test2
2) started cmpro, created a profile for MAME via profiler->create
3) after importing the data I've added the 2 folders as rompaths in the settings dialog
4) Scanner->Systems->Auto Assign
Now all but one systems are assigned to e:\test1 and e:\test2 is assigned to Neogeo Bios set.
This is as expected since cmpro detected the neogeo.zip file in e:\test2 and so took this best fit for the neogeo bios assignment, for the rest nothing was matched, so the 1st rompath (e:\test1) was assinged.
Next step: Hit Move Sets....neogeo.zip stays in e:\test2, as expected. Nothing is removed.
Next step: Manually moved neogeo.zip from e:\test2 to e:\test1 and hit "move sets" again...now, neogeo.zip was moved from e:\test1 to e:\test2 as expected.
So from my side, I don't see any wrong behaviour.