Leon,
I am having the same problem. And it is very frustrating because now that I've started this family of parts in Creo 3.0 i cant roll back to Creo 2.0 untill I finish them. I use Volume Milling for most of my toolpaths and then I use Local Milling by Previous Step. This used to work great for me in Creo 2.0. But in Creo 3.0 it just says "Please check setup". I'm trying to get by using Roughing and Reroughing, but for my application they are terrible. I am assuming it is a bug but I can't submit it because my maintenance ran out in January and I can't get back on it anytime soon because management sees software as very low on the totem pole of expenses.