I have a web.config with 2 transforms - for debug and release.
web.config:
If, like me, you're running up against this problem while trying to automate your build process using msbuild from the command line, the correct answer can be found in this blog entry:
http://www.zvolkov.com/clog/2010/05/18/how-to-packagepublish-web-site-project-using-vs2010-and-msbuild/
Specifically, the parameter you need to set is:
/p:AutoParameterizationWebConfigConnectionStrings=False
This is most likely what VS is doing on your behalf when you publish to the filesystem