Creating a huge amount of files sounds like something that isn't necessarily A Good Thing, but you probably have your reasons :)
When you get the error code in Delphi, does KAV pop up any heuristic warnings, or is it completely silent? It wouldn't be weird to get a heuristic "omg, that app is doing something bad!" from creating a ton of new file, but if KAV is silent I'd say it's a bug.
Can you post a delphi executable with the tiniest amount of code that reproduces the bug? And a version that does the same step but only creates one file, it might be interesting to trace with SysInternals' ProcMon.
