I guess you start Visual Studio in the administrative mode on the box. XKeymacs can't work any application running in this mode. If you don't so, I can't find another reason where it can't work only for Visual Studio.
I will fix a bug where it shows the wrong name in the dropdown list for Visual Studio anyway.
I installed xkeymacs on my Windows 7 box, and it works great with all other apps, but doesn't work with Visual Studio 2010. I've tried applying with the xkeymacs dropdown "Microsoft Visual Studio .NET", I've tried changing it then restarting Visual Studio, also rebooting the machine. With nothing will it actually recognize the changed keystrokes.
The funny thing is that I have another Windows 7 machine where it works fine with Visual Studio. I also have tried to completely reinstall Visual Studio with no good result.
Any ideas?