<p>Server 2008 machine with SP1, Visual Studio 2008 with SP1. My user; Developer, is in the local Administrators group. That said, some actions I perform in Visual Studio (use the properties window of a web application to invoke the creation of a virtual directory in local IIS) tell me that Admin privileges are required. It is an annoyance more than anything, I can just launch VS with right click (Run As Administrator) to perform the action -  but I was curious if anyone knows why this happens?</p>

Because that's how it works, I guess... It doesn't matter the group your user is in, what matters is if the application is running with admin privileges or not. If it is, than you will be able to perform admin actions, otherwise you won't.
All applications that use UAC to perform admin actions (when you see the security badge) they will either a) restart the application with admin privileges or b) launch a process with admin privileges to perform the respective action. They will never be able to grant you admin privileges without launching a process with them.
That's just the way it works really. As far as I know, this is how it works...