I am having quite the same problem when reindexing indexes.
I get a Return 0 message or this message :
Could not find a part of the path 'E:\web\asalogcom00\htdocs\App_Data\Sitefinity\Search\all\
The site www.asalog.com
is hosted at DiscountASP.net.
Sitefinity version is 4.0.1098
I have set up the scope as Static HTML and Blog Posts