I seem to be the oddball out in that my system is completely untouched by any trace of KDE (at least to my knowledge it is) as a result of this, KDEDIR is not set, and in that condition, the xscreensaver ebuild removes it's own image dir during th src_install function. The bug url is to the patch that I used to fix this, someone who uses KDE will need to test it, as well as someone who has a defined KDEDIR but does not have USE=kde as a note on this... a similar error could have MAJOR filesystem sanity implications, please lets be careful about such things in future.
Fixed in 4.02-r3.