The rectangle tool in Fireworks (or any of the other shapes under that same menu) are considered Auto Shapes with some script logic behind from what I understand. For example, with auto shapes you can attach a few effects such as rounded corners (declared in px or %) to a rectangle and with a 9-slice guide locked you can change the dimentions without distoring the rounded corner. Thus, when using the subselection tool to teak one of the anchor points on a rectangle auto shap, it will pop a dialogue asking to "ungroup it." By hitting ok you get a vector similar to what you have in Illustrator. I hope that helps.
Just to clarify, the main rectangle tool is not an auto shape in the true sense. Neither are the elliptical tool or the polygon tool. Any shapes below those three ARE auto shapes. When you draw from that group of shapes, the shapes themselves have yellow diamond control handles to edit the shapes properties.
However, the main rectangle tool is still a somewhat special vector object. When you draw a rectangle it has some special properties to all you to change the corner radius to all four corners, right from the Properties panel. So it's a special grouped shape. That's why FW asks if you want to ungroup the shape; ungrouping will give you direct control over the vector control points but you will lose the ability to update corner radius from the Properties panel.
Admittedly, it can be a little confusing because you essentially have four rectangle shapes to pick from: rectangle, rounded rectangle, bevelled rectangle and chamfered rectangle. And the last two are really the same object but with different intial corners.