Azure package not including linked project DLL even with copy local set

As I wrote in comment I have same situation as you (Windows 7 and 8, VS 2012, Azure SDK 1.8). Copy Local is set to true but when I open *.cspkg package, referenced assemblies are missing in approot folder. What I did I created new Worker Role project and copied the code from old one. Now are all assemblies included.

UPDATE: The solution described above was not really necessary in my case. The real problem by me was that my Web Role accidentally referenced my Worker Role assembly. When I removed this unnecessary reference, the Worker Role got the all assemblies in package. This behaviour is, on my opinion, buggy.

I can confirm what Anton describes in his answer in the paragraph starting with "UPDATE":

I had a class library project called "Utils", a "WorkerRole" and a "WebRole" project. Both WorkerRole and WebRole were referencing Utils. In addition, WebRole was referencing WorkerRole - as latter one contained some classes which were used as Service Bus messages.

The result was that Utils.dll was not included in the .cspkg file for the cloud service, and there was no error message in Visual Studio. After putting the message classes in project Utils and removing the reference WebRole->WorkerRole everything was fine again.

Seems to be a bug indeed.