Current kernel - 2.4.22-gentoo-test-r1 (only kernel installed)
Note: I'm using genkernel to build/rebuild kernels due to it being recommended in the install guide.

Kernel Module Packages Installed:
media-sound/alsa-driver-0.9.8
media-video/nvidia-kernel-1.0.4496-r3
net-fs/shfs-0.31-r1
net-fs/ftpfs-0.6.2-r3

Testing -
1. Installed Portage 2.0.49-r18
2. run genkernel to rebuild current kernel

Results: 
alsa-driver: modules removed - need to reinstall
nvidia-kernel: modules not removed - no need to reinstall
shfs: modules removed - need to reinstall
ftpfs: modules removed - need to reinstall

fix: run kernelmod-rebuild --quiet -- --usepkg --verbose

Results:
alsa-driver: modules installed
nvidia-kernel: modules installed
shfs: modules installed
ftpfs: modules installed

3. Installed gentoo-sources kernel (2.4.20-gentoo-r9)
4. Copied config from gentoo-test kernel to gentoo kernel
5. changed /usr/src/linux to point to /usr/src/linux-2.4.20-gentoo-r9
6. Run genkernel to build kernel

Results:
gentoo-test-sources
alsa-driver: modules installed
nvidia-kernel: modules installed
shfs: modules installed
ftpfs: modules installed

gentoo-sources
alsa-driver: no modules - need to install
nvidia-kernel: no modules - need to install
shfs: no modules - need to install
ftpfs: no modules - need to install

Fix: run env CONFIG_PROTECT="/lib/modules/2.4.22-gentoo-test-r1" kernelmod-rebuild --quiet -- --verbose

Results:
gentoo-test-sources
alsa-driver: modules installed
nvidia-kernel: modules installed
shfs: modules installed
ftpfs: modules installed

gentoo-sources
alsa-driver: modules installed
nvidia-kernel: modules installed
shfs: modules installed
ftpfs: modules installed