This question has shown up in the MSDN forums several times in the last couple of weeks (#1, #2, #3). Nobody at Microsoft appears to want to make an official statement so I though I would sum up the situation and share my opinion - if the folk at Microsoft don't like it then they know my email address and they are welcome to tell me the real story at any time.

1. Managed DirectX 1.1 is frozen. Its still a great API and since its part of DirectX 9.0 will be supported for a a reasonable period. DirectX 9 ships with Vista and the Aero shell uses it so its not going to die. There are probably some bugs but it went through several versions and is pretty stable. However bug fixes are unlikely.
2. Managed DirectX 2.0 was cancelled in favour of XNA development. Personally I think of XNA as most of what MDX 2.0 was going to be with the added bonus of content management, xbox 360 deployment and a nice game architecture.
3. XNA is the only managed directX API that Microsoft are actively working on to my knowledge. As mentioned above it has several advantages over MDX 2.0 however it also has several segments of the API missing such as parts of D3DX. Its currently the best choice if you want support in the forums or future bug fixes. There has been public talk of future/pro versions. The XNA team is far bigger than Managed DirectX ever was and there has been lots of high profile marketing too. On the whole this seems like a safe bet.
4. Neither MDX nor XNA has 64 bit native assemblies - more and more people are asking for this. The 32 bit assemblies run just fine on 64 bit machines but since there is a 64 bit version of native DirectX we feel a little left out.
5. None of the APIs give managed developers access to DirectX10 abilities - this isn't huge deal as there is limited/expensive hardware and since its only available on Vista the customer base is much smaller. However every day this becomes a bigger issue. Ralf has been working on an independent wrapper. Since XNA has a large Xbox 360 focus and Xbox 360 is not DirectX 10 there could be a feature conflict here.

So right now we are in a waiting game. There is nothing announced on the future of Managed DirectX, there is no official guidance to move everything to XNA, there is no hint of 64bit or DX10 wrappers.

Bottom line is that everyone needs to make their own decisions based on their requirements. The majority of people I talk to seem to be asssuming that XNA is the way of the future and are moving over to that. If your project is for a large corporation then maybe you can get your Microsoft rep to give you some answers. I would LOVE to know the response.