Hi Darrin,
Yes, referential integrity conversion was one of the features that did not make it into the current build of Visual Studio that you are using. As you can imagine this is certainly one of the things that we will want to add for a future release. As of right now the main option I know of would be to manually add the contraints after the .sdf is created.
Beyond manually adding the references to the newly created .sdf I am not sure of any utilities that will migrate these contraints from SQL Server.
Liam