Just to let you know that I no longer have this problem.
I noticed that Windows wasn't displaying the battery status and at first thought it might have been a driver problem, as I was sure I had enabled the setting to pass on the power status in the VM settings. However, when I checked, it was disabled. After re-enaling this option, the power status was shown in Win 7 x64, and I also noticed that the MacBook Pro now went into deep sleep mode.
Thinking this setting being disabled was probably responsible for the original problem of not going into deep sleep mode, I checked again and disabled it, but it still went into deep sleep mode.
So, whether the act of enabling the pass on power status setting also corrected something else, which solved the deep sleep problem, or it was just a coincidence, I'm not sure, but either way my MacBook Pro now goes into deep sleep mode with Fusion running. 