<p>I wonder, why the hell... did the VS team consider that NOT finding a project reference as a non crucial thing?</p>

<p>The referenced component 'X' could not be found. should be considered an error... and nothing else.</p>

<p><strong>Is there a way (without turning 'Treat all warnings as errors' on) to get this warning as an error in VS2008?</strong></p>

That warning comes from the project system, not the compiler.  The project system doesn't know whether or not the reference will actually be needed when the code is compiled.  I've run into several cases (all involving multiple platforms and conditional compilation) where this features allows you to maintain a single project file when you might otherwise have to split into one file per configuration.
There is an option to "treat warnings as errors" -- you should be able to find it in the project configuration screen.