XNA is no longer supported. Windows recommends MonoGame. This was actually done a while ago. And I've never seen it included. For me with 2010 Ultimate it was a separate download.
From here:
[According to a leaked email]
"The XNA/DirectX expertise was created to recognize community leaders who
focused on XNA Game Studio and/or DirectX development. Presently the
XNA Game Studio is not in active development and DirectX is no longer
evolving as a technology. Given the status within each technology,
further value and engagement cannot be offered to the MVP community.
As a result, effective April 1, 2014 XNA/DirectX will be fully retired
from the MVP Award Program."
As others have commented, it may go well for you regardless of the above facts. I wouldn't count on a "Preview" version of VS to be so forgiving, but I could be completely wrong. However considering they're outright suggesting MonoGame I'd say they probably wouldn't bother.