atlrx.h, the include file used for regular expression support, has been removed from Orcas, as it was shipped as part of the ATL Server release. ATL Server is now an open source project. Although, I agree this should be made an exception and still be included, as it really doesn't have much to do with ATL Server itself. For more info see:
http://blogs.msdn.com/vcblog/archive/2007/01/19/atl-server-visual-c-shared-source-software.aspx