To my knowledge, the first 'retail' game written in Managed DirectX has been released.. It's called "Tin Soliders: Alexander the Great", and you can read more about it here. It seems to be a turned based strategy game. I've never played it, I really don't know anything about it, but I expect it to be the first of many games written entirely in managed code using Managed DirectX..
Oh, and if there are other 'retail' games written in MDX that I'm not aware of, sorry.. You should let me know!