For walking and running you can set the watch to automatically start a "full size" activity after 5, 10 or 15 minutes. It is switched off by default, but if you set that to say 5 minutes and start walking, then after 5 minutes the watch will buzz and launch the walking app by itself. It even includes those first 5 minutes.
For cycling it detects me cycling and places it on my timeline as a Move IQ event without the plots and graph but it is not stored as an activity.
Would be cool to have that feature for cycling as well but this is not the case at this moment. Do you have an idea when this will be added ? I also have the impression that the cycling activity is not considered to calculate the VO2Max. Is this correct ?