Unlike OS X, most other operating systems require the use of multibutton mice. Most Mac users know you can ctrl-click to simulate a right click, and you can do that in Fusion as well. But what if you actually want to ctrl-click in the guest - say, to select multiple items in Explorer?
If you still need to right click and don't want to remap to a different shortcut, there may be other options. For laptop users, you can enable two-finger right clicks in System Preferences > Keyboard & Mouse > Trackpad. If you have a Mighty Mouse, you can enable right click in System Preferences > Keyboard & Mouse > Mouse. And of course, since OS X has always supported multibutton mice, you can always plug in your favorite multibutton mouse.