I think the Montecito was built from scratch on a computer screen. I also noticed in one episode that the actual location is allegedly just south of the Tropicana. The continuity people, however, really just don't care, because the views from the Montecito are random at best (sometimes, it's south of the Bellagio, other times it's around the Frontier).

Just last night I watched the season finale, which I had TiVo'd, and in the final scene when Mike is driving Danny hurriedly to wherever he was being picked up and shipped off to the "classified" place, first they're driving south by the Bellagio, then past New York, New York, then north across the street from the Boardwalk and Monte Carlo... kinda laughable.

But the show's just so damn good that it doesn't matter!