Ah, the build setup is a bit confusing. Because of the history:
It all started as a monolithic "do-everything" library called Nito.KitchenSink. It bundled Rx (and probably some other stuff) for convenience. This was in the dark ages, before there was an easy way to add multiple libraries (including handling dependencies).
The NuGet packages are KitchenSink reborn as a bunch of tiny packages. There's also a higher quality bar: they must be thoroughly documented and be instrumented with Code Contracts. Eventually, I hope to add code coverage from unit testing to that bar.
Right now, there is still only one CodePlex project, with all the source, but the KitchenSink monolith is no more. There's still a .sln file, but you should use the individual .sln files under each NuGet minilibrary's subdirectory instead of the .sln file
Sorry for the confusion, and I'll get the NuGet package up soon.