As I wrote in comment I have same situation as you (Windows 7 and 8, VS 2012, Azure SDK 1.8). Copy Local is set to true but when I open *.cspkg package, referenced assemblies are missing in approot folder. What I did I created new Worker Role project and copied the code from old one. Now are all assemblies included.
UPDATE: The solution described above was not really necessary in my case. The real problem by me was that my Web Role accidentally referenced my Worker Role assembly. When I removed this unnecessary reference, the Worker Role got the all assemblies in package. This behaviour is, on my opinion, buggy.