Firstly, for doing Acad .NET API development, ObjectARX SDK is not a MUST. you can directly set reference to acadmgd.dll and acmgd.dll in Acad installation directory. In most cases, these 2 are all you need.
You do not need to use COM API, exposed by Autodesk.AutoCAD.Interop and/or ...interop.common in most cases. In the early stage of Acad .NET API (Acad2005/6), ther were many basic functionalities missing from .NET API, such as there weas no easy way to do a simple zoom, the easy access to COM API from .NT API helps. With more and more advance of .NET API, there would be less chance one has to turn to COM API to help.
If in certain case you do need to use COM API, you can set reference in the "References" dialog box, COM tab to the ....interop/...Interop.Common, which as PIA installed in the GAC by Acad installation. So, SDK is not really something you have to use. That is, AutoCAD itself has all the needed DLLs you need for development installed. That is why you need to set "Copy Local" to False for these references.
However, the same dll from SDK has removed some dependencies to AutoCAD, so that programmer can use that references in a more isolated environment. For example, the developement can be open or even develop in a computer without Acad installed (of course you cannot do debugging, then). That is another why you should make it very sure to set "Copy Local" to False: The dlls from SDK are for development ONLY. You might have noticed, the size of acadmgd/acmgd.dll from SDK is much smaller than the once coming with AutoCAD.
You may be using ObjectARX managed project wizard to start your project, which I personally do not like. It unnecessarily add extra references to the project, such as WPF's Presentation.Core.dll, acWindows.dll, and maybe AutoCAD.Interop (I am not sure), while in most .NET API development, you only need acdbmgd/acmgd.dll.
Also, path to Autodesk.AutoCAD.Interop/Interop.Common being changed or not really does not matter, they are installed in GAC by AutoCAD. If you set reference to them from SDK folder (or anywhere in the disk), you do not copy them to output location (Copy Local =False) anyway, and AutoCAD (actually the .NET runtime) always look for it in GAC first.
So, I do recommand the start a blank class library project (VB.NET or C#), set references to acdbmgd/acmgd.dll(make sure "Copy Local to Flase), maybe add some boiler plate code in a class and then export it as your basic Acad .NET API development template. Then go to SDK's sample folder for .NET samples to learn manipulate Acad entities and environment in .NET way, as opposed to COM way. The differences are quite significant. As one with quite some VBA backgroud, one may feel the .NET way are a lot more complicated. But one would not regret in the end for the transition.