We have a plan defined which uses CVS for the source repository.

We have specified the CVS module (allbuild) in the plan.

The module is defined in the CVSROOT/modules file as:
allbuild -a project1 project2 project3 ....

When Bamboo runs, it produces the following in the logs:
"...
DefaultBuildChangeDetector] The source code directory (C:\Documents and Settings\Dion Gillard\Desktop\bamboo-home\xml-data\build-dir\STAR-HEAD\allbuild) for build "STAR - HEAD" does not exist, requires full checkout.
..."

There will never be an allbuild directory, since the module when checked out has directories project1, project2, project3 etc

This is not solved by specifying the name of an existing directory (e.g. project1) as the Working Sub Directory in the Builder Configuration screen.