The file automatically inserted in the Device Programming windows is the *.elv file from the debug directory.
This file is the penultimate version build. 
The very last version is in the ....\Local\VMicro\Arduino\Builds\Blink\atmega8x  directory. 
The last version build will appears in the debug directory on the next build.
In other words, I have to compile 2 times to get the right version in the debug dir.

I agree its not a big deal to set the build path instead of the debug path in the Device programming windows, but I feel that you are on the good way to solve the issue. 
The programmers list from Arduino includes the AVRISP in the list, but avrdude does not work with the atmel studio usb driver. 
I know its possible to replace the driver to have avrdude working but I don't think Studio 6 will still work with it. I actually never tried it but according lots of informations found on the net it won't.

Thank's for you help, I learned lots of interesting things

I have found the same issue as Gil- i.e. when I am using Atmel's Programming window, (required if you need to use the AVRISP mk II ), then the programmer download file window will point to the folder that VM makes in the project/debug folder. As Gil so elequently stated, the elf file is that of the pentultimate build, so it really throws you off when your freshly programmed MCU is always one step behind any edits you make!   
  As you said, if you manually change this to point to the temp build folder, you will get the latest build. However, every time you go back into the programming window, it reverts to the project/debug folder.
  I corrected this by changing the tools/options/programming dialog/ "load from project" option to False, from the true default.
   However, I think this is going to throw many people off. I would prefer if the project/debug folder were refreshed after every build. 
FYI- this "delayed" update of the debug folder explains why the .cpp files that I sent you (during our last exchange) did not contain any breakpoint code. I was sure I had not screwed up, but at that time I would not have thought of hitting F7 twice, to bring the project folder up to date.
Thanks

yes Tim - I made a false connection between the rwo situations. The cpp files were from the temp build folder and the delayed write of the elf file does not apply to this folder.