This happens because you're not using the Visual Source Safe Integrated Features in Visual FoxPro. Or you may be using a Class Library from another project that the IDE is not aware of.
A lot of developer choose not to use the VSS IDE within VFP (and that's fine) but now you have to do "work-arounds". One work around is to put code in a project hook. The project hook has several events for you take advantage of in situations like this.
Hope this answers your question.