The version of SSMS installed is just as important as the configuration options (statement completion, enable intellisense, no sqlcmd mode) that you've already covered.
Ensure the workstation where SSMS is running has at least SQL Server 2008 R2 SP2, then apply the most recent cumulative update. A list of the available cumulative updates can be found here.
CU10 is the latest I've installed to resolve this problem, but CU11 should work.
Verify the SSMS version in Help -> About
and confirm the build number: