I think the main issue here is not so much CDs which usually get applications scanned on access the problem is removable drives of which the picture frame is but one.There are indeed applications that will install on thumb drives and steal all your windows passwords within seconds of being plugged in.Imagine a lan party with all sharing coonections and files and you can see the apparent danger to your personal data should it be unencrypted.
So its hard to draw a line as far as personal system security goes.I suppose its bit like your house entry doors just how secure do you make them before the price becomes overbearing and you become paranoid over the issue?