The "Share Windows applications with Mac" option simply allows you to have access to Windows apps from the Mac. It's up to you to customize how you want to do this, which you do from the Get Info dialog in OS X and from Default Programs in Windows 7 (or file properties in XP).
I agree that the display of the Dock icons should probably be disassociated with the sharing of Windows apps (should be an option in Coherence preferences, not Sharing), but it is what it is. Changing the file associations is a one time thing, so I don't think it's a big deal.
Steve