I still cannot locate the non-zero reference that DX is warning about. It kinda bugs me because it showed up at a seemingly random time in development, and that I can't track it down. It also sucks because when in fullscreen mode, the app exits and its still in fullscreen while the warning message is not above the game. I think this could be my own fault, I don't really know how to call a proper exit. So I just use Alt+F4 and DX seems to call all the cleanup functions (virtuals from the sample framework).
Oh well, I found a pretty good (sounding) memory tracker on flipcode. It adds a track when the new is called, and watches for the delete. At a point in the code, you call another function that checks for any 'new' entries that have not been deleted. It even uses filename and line in the output, which I think is sweet!