Some types in those VS assemblies require other assemblies (PIA). This is explained here: Troubleshooting Errors When Embedding Type Information (Doug Rothaus).

In this Visual Studio specific case, I don't know how to solve it (where are those assemblies?) other than recreate the types manually (hint: use tools like .NET reflector to help you in that matter because the DLL does contain the definition). For example, here is how to compile your code, just add this somewhere:

namespace MyInterop
{
    [ComImport, InterfaceType(ComInterfaceType.InterfaceIsIUnknown), Guid("0D915B59-2ED7-472A-9DE8-9161737EA1C5")]
    public interface SVsColorThemeService
    {
    }
    [ComImport, InterfaceType(ComInterfaceType.InterfaceIsIUnknown), Guid("EAB552CF-7858-4F05-8435-62DB6DF60684")]
    public interface IVsColorThemeService {
        void _VtblGap1_4();
        IVsColorThemes Themes { [return: MarshalAs(UnmanagedType.Interface)] get; }
        IVsColorNames ColorNames { [return: MarshalAs(UnmanagedType.Interface)] get; }
        IVsColorTheme CurrentTheme { [return: MarshalAs(UnmanagedType.Interface)] get; }
    }
    [ComImport, InterfaceType(ComInterfaceType.InterfaceIsIUnknown), Guid("98192AFE-75B9-4347-82EC-FF312C1995D8")]
    public interface IVsColorThemes {
        [return: MarshalAs(UnmanagedType.Interface)]
        IVsColorTheme GetThemeFromId([In] Guid ThemeId);
    }
    [ComImport, Guid("413D8344-C0DB-4949-9DBC-69C12BADB6AC"), InterfaceType(ComInterfaceType.InterfaceIsIUnknown)]
    public interface IVsColorTheme {
        void _VtblGap1_1();
        IVsColorEntry this[ColorName Name] { [return: MarshalAs(UnmanagedType.Interface)] get; }
        Guid ThemeId { get; }
    }
    [ComImport, TypeIdentifier, InterfaceType(ComInterfaceType.InterfaceIsIUnknown), Guid("BBE70639-7AD9-4365-AE36-9877AF2F973B")]
    public interface IVsColorEntry {
        ColorName ColorName { get; }
        byte BackgroundType { get; }
        byte ForegroundType { get; }
        uint Background { get; }
        uint Foreground { get; }
    }
    public struct ColorName {
        public Guid Category;
        [MarshalAs(UnmanagedType.BStr)]
        public string Name;
    }
    [ComImport, InterfaceType(ComInterfaceType.InterfaceIsIUnknown), Guid("92144F7A-61DE-439B-AA66-13BE7CDEC857")]
    public interface IVsColorNames {
        void _VtblGap1_2();
        int Count { get; }
        System.Collections.IEnumerator GetEnumerator();
    }
}