Paul...
I am assuming you already went into Guitar Rig and went to options and did the Scan for new presets already so... question...have you searched your drive for the presets?
This happened to me when I upgraded to Guitar Rig 5. No presets and the folder was empty so I looked for them found them and copied them to the correct folder did the scan and they all showed up. Native Instruments Support is not that great because it is all done by e-mail so I hope you can get Cakewalk to help here and they don't redirect you.
Try this first though...
I would first look in the folder where Presets should be. You can look directly (C:\Users\Name\My Documents\Native Instruments\Shared Content\Sounds\Guitar Rig 4 )and see if they are there
or
open Guitar Rig in standalone and go to, FILE< (upperleft corner)/IMPORT and see if they are there. You just want to see if they are there first.
If empty search for *.KSD files and once you find them try copying them to the folder noted above and then go into Guitar Rig "OPTIONS" and Scan for new presets.
John