As Guge says this is by design (It's the same in Beta/RC or RTM). In Visual Studio 2010 you have 2 different versions of Windows Workflow. The new one (4.0) uses a new runtime under the hood and has a WPF look and feel. The designer/activities are different.
The old one (3.5) -also called Legacy- can only be created in Visual Studio 2010 if you change the target framework to 3.5 or 3.0. After you do that you will have the option of State Machine/Sequential WF Console App.
Note however that after you have created the 3.5 workflow you can retarget to 4.0. This will keep the same designer/runtime but it will be running under the 4.0 Framework. Everything will work as expected.
If you try to upgrade and existing VS2008 project you will get the option of doing this.