Components have a little red exclamation since none of the components are attached to features.
In a MSI installation, you need to create features and tie the components to features for the installation to work. In your situation, you have added the components to the project but not ties them to any feature.
To solve this issue, go to the setup design view, choose Insert components from the right click menu and select all the feautres to be tied to the Console one feature....and viola the red marks will disappear and the build warnings will go away.
Let me know how this works for you.