I'm not sure where you'd find it in the user documentation, but it is specifically addressed in the language specification in the section on object initialisers:
A member initializer that specifies an object initializer after the equals sign is a nested object initializer, i.e. an initialization of an embedded object. Instead of assigning a new value to the field or property, the assignments in the nested object initializer are treated as assignments to members of the field or property. Nested object initializers cannot be applied to properties with a value type, or to read-only fields with a value type.
This text is also part of Overview of C# 3.0.