Ummm.. not always the case. I have an early 2011 that came with SL, and a early 2011 that shipped with Lion. If I try to use the SL restore discs on the Lion machine it has no issues getting past the model check and will install. But it kernel panics on subsequent boot.
It's believed to be a later EFI update that renders the instability.
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10.6 isn't licensed to run in a VM unless it's server. VMWare Fusion won't allow it unless you find a 4.01 build where they "oops'ed" on the license check.
That may be true, it's not something I'd investigate or loose sleep over if violating the EULA..