Some of the classes are not being properly imported into Visio resulting in them not showing up in the classifier list (specifically while trying to declare a sequence diagram object LifeLine).  Numerous attempts of making copies, moving to other projects and then back failed....  The following is the workaround that I found to work:

Note in figure 1 that BuildFailedException is not available in the Visio classifier list, without it we'll be unable to add it to our sequence diagram....

If we create a new class with the same name we'll have two of them in our list???  Curious as to why the other one now shows up... If we go back and delete the one we just added they will both drop from the list....

The solution is to keep the new class entry and drag/drop all of it's methods and properties into the new class.  From that point on Visio will display the class so that it can be used.   Not an optimal solution but sure beats having to reenter all of the properties, methods and the method parameters.