The dialog that the controls are on must have been created in an older version of Visual Studio that didn't give VS .NET what it wanted.  This is how to fix it:

1.  Edit the header file associated with the dialog (for me, the dialog resource id was DLG_SECURITY, and the header file was Security.h).

2.  Find the MFC-created section called "Dialog Data".

3.  Beneath the line:

    //{{AFX_DATA([Dialog Class name])

4.  Add the line:

    enum { IDD = [Dialog Resource ID] };

    (For my case, the lines were:

    //{{AFX_DATA(cSecurity)
    enum { IDD = DLG_SECURITY };
    )

5.  Close and re-open your Solution.  (I haven't tested whether this is necessary, but I bet it is).

6.  VS .NET's resource editor should have "Add Variable" enabled on the speed menu now.