Hi Andreas,
You should not have to manually add the .msm by the Add Additional Module button. If you distribute your application with the CVI Run-Time engine, you can either select the top-level "LabWindows/CVI Run-Time Engine" item in the Drivers and Component list, or you must select the "ActiveX Container Support" sub-component. Doing so will ensure that your distributed application has the run-time support for ActiveX controls.
I understand that the Check Module Dependencies button may be somewhat misleading. If you click the help button on the dialog and scroll down to the bit about the Check Module Dependencies button, it explains that this button simply ensures that for any .msm file included in your distribution, its dependency chain (items listed in the .msm ModuleDependency table) can be fully found and included in the distribution. This button does not detect run-time dependencies of your project.
Hope this clears things up a bit.
Mert A.
National Instruments