A hangover from C5 and N5 - I’ve just hit it in C6.
There was confirmation back at C5 but also by SB Mod at this point in a thread in the old Nuendo forum (with video of issue):-
http://www.nuendo.com/phpbb2/viewtopic.php?p=183435#183435
The same is seen when doing this by saving and loading of mixer Channel settings (*.vmx files) within the same project; across different projects, it seems to be ok
I’m on Vista32 so not supported.
The only way to see the second instance of the compressor side-chain in the ‘sends’ drop-down shown in the video, is when you load and enable side-chain in a new instance of the FX in the second Group Track.
(no [BUG] until there’s Win7 confirmation). 
