The reason for the confusion comes from the merging of the Maven concepts with the NetBeans Platform concepts. As a result, you have two project types 'above' the NetBeans module:
So, what do you do if you want to build all the modules AND run the application? Initially, you find yourself doing 'Build' on the Maven-specific project type and then doing 'Run' on the NetBeans Platform-specific project type.
That's kind of cumbersome. So, instead, do this. Go to the Project Properties of the NetBeans Platform-specific project type, i.e., the one with the orange icon. You'll see this panel:
Remove "install" from the Run Project action and click the "Build with Dependencies" checkbox. (Do the latter, because each of the modules that you build, thanks to 'build with dependencies', will also call 'install' for itself).
When you leave the Project Properties dialog, you'll have an "nbactions.xml" file, like this:
<?xml version="1.0" encoding="UTF-8"?>
So, now, when you do "Run" on the NetBeans Platform-specific project type, all the modules will also be built. That means you only have one command to invoke instead of two.
Does anyone out there have other handy tips for "nbactions.xml"? If so, feel free to leave them in the comments here...