I can confirm that. I can't imagine what they are doing with the releases, but there is always missing something which I must copy from the previous release in order to compile our project.
There are also permanent issues which don't seem to be fixed ever.
For example, the mc.exe utility doesn't work without nlsdl.dll, which must be installed separately. Or the manifest tool (mt.exe) - the SDK is still shipped with an old version (5.2.3790.2075), which currupts exe's and dll's. If you run these executables on pre-Vista OS, such as Windows XP, you will get the BSOD. On the other hand, in the Visual Studio 2005 installation directory, you can find a newer version of mt.exe (6.0.4071.0), which injects the manifests correctly.