It doesn't seem to matter if the source is part of my project. I have some managed ("ref") classes that are part of my project, and I am using some of the classes from the framework. I don't get IntelliSense (sorry, I know that isn't what your feature is called) for either one.
I added the dotnet.vtg file to the "C/C++" Tag Files list, but that didn't seem to help.
The Def's window does display what I expect for the classes defined in my project when looking at the .cpp file, when viewing the .hpp file, I don't see any member information.