I have a ClickOnce application which includes its XNA and F# dependencies. Unfortunately, setup stops because XNA is not installed, which I expect should be solved by the installer itself.
I am hosting the application at Codeplex.
ClickOnce installs prerequisites as requested by you in the Prerequisites dialog. If XNA is not installed on the machine already, and you don't (a) provide the assemblies locally in the deployment, or (b) specify the components as prerequisites, it will not just go out and figure it out and install them "willy-nilly".