MSDN states the following SortedSet(T).Add Method :
If Count is less than the capacity of the internal array, this method is an O(1) operation.
The comment is simply wrong. Yes, it is a red-black tree, O(log(n)) for inserts. Taking a look with Reflector bears this out, the private AddIfNotPresent() method contains a while() loop to find the insertion point, using normal red-black node traversal.
This doc bug has already been submitted by you-know-who.