Edit: I reported this as a bug on the Microsoft Connect site here.
Edit 2: Microsoft will not fix this bug (at least not in VS2010).
User defined warnings are only shown in the Error List window for one file per project. So if you put the #warning directive in several files of your project, you will not see any warnings after build for most of the files. The missing warnings are generated by msbuild and can be seen in the Output window, but not in the Error List window.
Note: none of the files containing #warning's must be open in VS editor on the moment of build for this effect (a VS bug?) to be seen.
How do I get all of my user-defined warnings displayed on build?
I'm using Visual Studio 2008 SP1.