Hi Sark,
I was curious about your question so I did a simple test or two to see if I could help answer your questions. (This is by no means an 'authoritative' response.

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Anyway my most used transfer of images from Illustrator 10 to Photoshop CS (for only a couple of weeks now but I had the PS7 update from the first release date) is by drag and drop. That always places a transform box around the image/paths and rasterizes the result upon hitting Return/Enter.
The way to copy paths is via the Clipboard. To transfer paths in PS7 and CS (I'd have to reload PS6 to check there) you go into Illustrator preferences and in Files and Clipboards turn on the AICB check box. If you are using Illustrator to modify Photoshop paths it is advised to turn on the Preserve Paths radio button.
With that it is possible to copy multiple paths to the Clipboard in Illustrator, including paths on multiple layers and paste them into Photoshop. When you do an options window appears with placement options. (see below) Although all the paths selected from different layers are pasted in the PS window, they are all on one layer in the paths palette, not multiple layers. Similarly, if you paste your paths as pixels or shapes they are all placed on one layer.
Now you know what's behind door #3!