Windows 7 does give you warnings, but it's more hidden.
There's a flag icon, which you have to click on. It only nags you with security difficulties after three days.
It doesn't really matter, most Windows Vista users just ignored all the "you got no anti-virus" warnings. And then proceeded to click on every e-mail attachment they could find.
It's also a bit said that Windows needs anti-virus, because Windows PC's directly connected to the internet are constantly probed by bot-nets, so you'd have a worm in no-time.
Microsoft made Windows 7 less annoying again, like Windows 95 or Windows 2000, which is great for people like me who use Windows in school.