Actually, if the CD/DVD is able to auto-run in a physical Windows 7 OS, then same thing happens in you win 7 VM.
I think the auto-run mechnism is disabled by Windows 7, because it is very dangerous while the malware hiding on CD/DVD.
I known that some CD/DVD can auto-run on Windows XP, but not on Windows 7.
So, your behavior is OK, it seems not Fusion issue.