I have a setup and deployment project that, on our build server, reports the following in the summary:
========== Rebuild All: 25 succeeded, 2 failed,
(You did not say what Kind of Build Server you have. Because you tagged ".net" I am going to assume you are using TFS and Team Build.)
Team Build uses MSBuild (really it IS MSBuild). MSBuild cannot build vdproj files. Only Visual Studio can do that.
So if you are including solutions that that include vdproj files then they will fail. (Check your build log around the vdproj projects to see if they failed.)
One way to stop these failures from registering is to create a configuration that you compile for your Team Build that does not include your vdproj files (if the failed projects are really bugging you).
The best way to get your msi and exe files are to run Visual Studio on your vdproj projects. Add a custom target after the build has finished and call Visual Studio manually on your project. (I don't know why your msi and exe files are being generated unless you are doing this.)
As an alternative consider Windows Installer XML (WIX). Version 3 (which is very very close to full release and has a stable beta out) uses MSBuild. This means that your solutions can be compiled via Team Build with out any special actions. The only drawback is that WIX cannot target 'Any CPU', but it can be part of a Solution Level target of 'Any CPU' as long as it is targeting a specific platform.