I have created a .NET assembly that is exposed to COM according to the exceptional article Build and Deploy a .NET COM Assembly by Phil Wilson.
And everything works
It doesn't give the warning if you run VS2008 under Vista, but not elevated. Elevated is the way we (Vista users) learn to always use the thing, but for this, for some reason, it likes it better the other way.
N.B.: while elevated, mine launched some sort of install for SQL Server Tools that I was eventually able to get past, but when running not elevated, it tries to do this again and fails with permission problems. It doesn't seem to affect the actual build result, though.