If an application queries what (not just the type) is in the clipboard, Multiplicity is required to copy it onto the machine before responding. Why explorer is so obsessed with knowing the exact filenames of whats in the clipboard when you right click is something I do not know. I am guessing the nero window is an embedded explorer window.
It should be pointed out that Multiplicity is not looking for right clicks or anything like that, it is the applications requesting the information which triggers Multiplicity to perform the copy. This is true for text, images & file data.
Next time you use Remote Desktop, try copying some files on to the clipboard on the remote pc and then right click in explorer on the local pc. You will notice the same thing happens assuming you have share disk drives enabled.