In short: don't build Sandcastle projects from a UNC path, but map a drive letter.
Just for everyones information, this problem also occurs if you build a CHM with Sandcastle when the project file and all relative paths are in UNC notation.
Even if you add the registry entry from the FAQ.
I had a perfectly working project that built a CHM somewhere from C:\...\My Documents\Visual Studio 2010\Projects\ProjectBlablabla\dingetje.shfbproj but when I added a few interface implementations with generics and an explicit interface implementation
to my code the paths were becoming too long, resulting in Sandcastle complaining about it during build.
So what I first did was share the My Documents\Visual Studio 2010\Projects\ProjectBlablabla directory as ProjectBlablabla and opening the Sandcastle Project from
\\localhost\ProjectBlablabla and building. That worked, but with the "The page cannot be displayed" error on every page except the one opened by the CHM viewer upon opening the CHM.
However, mapping Z: as \\localhost\ProjectBlablabla and opening Z:\dingetje.shfbproj then building again resolved this issue.