However there are ways around it:

1. Don't use the VS SQL Server Project, but just create a normal class library project, add references as per usual and then manually create your assembly through CREATE ASSEMBLY. Make sure your referenced assemblies are in the same directory as your user assembly. The SQLCLR team has released some code that automatically creates procs/functions/triggers etc. when you run the CREATE ASSEMBLY code.

2. If you want to use the VS SQL Server Project you can create the assembly you want to reference in the database before you try to reference it. I.e: do a manual CREATE ASSEMBLY against the ManagedDTS.dll

3. Use my SQL Server VS templates and deploy task. This gives you the ability to reference what you want, and still get auto deployment. However, which-ever way to go, be careful with what you are doing. You don't want some code to compromise SQL Server!