A big thank you for Ron.
During my last BDD session I had not really investigated the possibility to disable the extra F12 keypress requirement when booting PXE from the network. This option is still available in WDS. You just have to rename the file <drive>:\RemoteInstall\Boot\x86\pxeboot.n12 into pxeboot.com.
PXE boot now also works natively from virtual machines in Virtual PC 2007 RC that is downloadable from connect.microsoft.com