Yes, __autoload() can not be invoked when compiling because compiler is not reentrant (and interactive mode means we're always compiling).
Reclassified as docu problem.

The manual stages that using auto_prepend_file/auto_append_file are allowed in interactive mode:

"Files included through auto_prepend_file and auto_append_file are parsed in this mode but with some restrictions - e.g. functions have to be defined before called."

So, I have an __autoload() function in a file which is included in my auto_prepend_file entry.

php -a
<?php
echo ini_get('auto_prepend_file'), PHP_EOL, function_exists('__autoload') ? 'Found loader' : 'No loader', PHP_EOL;
$obj_DB = new class_DB();
?>

results in 

2007/05/14 10:51:34 C:\>php -a
Interactive mode enabled

<?php
echo ini_get('auto_prepend_file'), PHP_EOL, function_exists('__autoload') ? 'Found loader' : 'No loader', PHP_EOL;
auto_loader.php
Found loader
$obj_DB = new class_DB();

Fatal error: Class 'class_DB' not found in C:\- on line 3

2007/05/14 10:51:35 C:\>?>
The syntax of the command is incorrect.

2007/05/14 10:51:35 C:\>

So.

I'll document this in the "Autoloading objects" page and in "-a"/interactive shell page.

This bug has been fixed in the documentation's XML sources. Since the
online and downloadable versions of the documentation need some time
to get updated, we would like to ask you to be a bit patient.

Thank you for the report, and for helping us make our documentation better.