Well, it works in my C++ 2005 Express - with native code, but I saw native DX debug output while debugging managed applications, too. A quick look at the options in 2008 (I do not have the DXSDK installed there so I cannot confirm or deny your observations) do not reveal any new settings that would mess around with unmanaged debug output during managed debug sessions.
We are boki. The rest is known.
The not so known part of the rest: It is
Björn or Bjoern, but never Bjorn.