The very last step in the apps is a cleaning process to move all analyzed .dmps to the output folder and all .dmps that were removed from analysis are moved to the %TEMP%\SysnativeBSODApps\<RandomNumber> directory. For some unknown reason, even though I tell the apps to close a .dmp as soon as it is done with it, it does not always successfully do so. I will re-check my close statements to make sure I did not miss one, but I am fairly sure I have not.
I don't think this is a case of having a file open in WinDbg since I do not do that on my machine, and I have also encountered the lone straggler at times. I'm sure having one open in WinDbg and the apps would prevent the cleanup, though, so that would explain the occurrence in some situations. :-}
Also, for 0 KB sized .dmps, I do not have any error messages that appear anymore. If the .dmps that are left behind are 0 KB, that would also explain why they are not being moved during the cleaning process.