Well, the "some CD/DVD can auto-run" isn't very comforting. I am trying to see if I need to rebuild the VM. As noted above, HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\cdrom was set to 1, which I believe to be the default (I checked it with some other default installs as well as some discussion boards on Win 7). So basically, I still have the question. Why didn't it run Helix (with the autorun.exe) on insertion with the HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\cdrom set to 1 in the Win7 VM? It may be something else in my environment that blocked it.
And I also have the question of "why" would fusion automatically mount a CD on insert, when it ask where you want mount a USB drive (it seems like a bug or a very misguided "feature".)