From what I understand, the ideal way to prepare builds using Visual Studio is to use a single build machine. That means, while the developers go through development process using their respective machine, the build isn't prepared from any of those machines and a build PC is used instead.
Under this condition, is it necessary to check-in(using TFS as example here) the setup project. There isn't any version controlling on that particular project as any required change would be done in the build machine itself, and this isn't of any concern to others.