Yes. .NET CF 3.5 is only supported in Visual Studio 2008.
Microsoft thought Mobile Devices were a waste of time, so they abandoned in in Visual Studio 2010 in favor of chasing after the iPhone with their Windows 7 Phone.
Since then, the Android tablet has taken off, Microsoft has seen the error in their planning, but there Windows 7 platform was designed for a PC and did not work well when scaled back to Windows Phone.
So, a new operating system was designed to focus on the tablet at it's core and added functionality was built in to let this new tablet OS work on the desktop. That is what Windows 8 is: A Tablet OS.
Unfortunately for you and me, Microsoft never went back to add support for older VS2010.
VS2012 with SP1 is supposed to support the newer Win8 devices, but I have not gotten into any of that.