There is a known issue with NGEN'ing embedded assemblies, I'm afraid.. :/
By default NGen will try to resolve and create native images for all dependencies. If it can not find them in the local directory then it will show a rather long warning message, but will continue and create the native images for what it can find. When the application is then run it will use the native images for what it has generated and then revert to JIT for the remaining.
If you embed some of the assemblies then NGen will be unable to find those dependencies in the local directory and so will give you the warnings but will successfully create the native images for the assemblies which aren't embedded.
Unfortunately, refraining from embedding the dependencies seems to be the only way to prevent the errors or to get those dependencies successfully NGen'd
Red Gate Software Ltd.