The real docs aren't integrated because the integration is a real pain: registration often goes wrong, and the help system is so slow that you're better off with the .chm file.
We didn't advertise or say that the documentation manual can be integrated in V.S
But we did say that the Reference manual (classes, methods and properties reference) can be integrated with the V.S.
The following is copied from the Readme.txt file that comes inside the Reference Manuals folder, inside the LLBLGen Pro download folder:
LLBLGen Pro v2.0 Reference manual for .NET 2.0
The .NET 2.0 runtime libraries reference manual is for VS.NET 2005 / MSDN help v2 system. To
be able to read the help, please run registerhelp2.bat. This should install the help in the VS.NET
2005 help index/contents tree. To remove the reference manual help, run unregisterhelp2.bat.