Not true. Auto-bombard does work for land-arty (Cats to Radar-Arty) in enemy territory, but only if you have de-selected 'Cancel Orders for Enemy/ Friendly Combat-Unit' in the Game-preferences menu.
These options refer to AI-units: if checked, and a (hostile) AI-unit moves adjacent to your units, your units will interrupt any multi-turn task that you have assigned to them: Workers will stop roading/ mining/ clearing, mil-units will interrupt their GoTos, and arty-units will stop auto-bombarding.
@Walletta: If you want your Bombers to bomb after your Arty have Auto-bombed, don't automate the Bombers -- hit 'Wait' every time one of them comes up, until the Arty have fired.
Like Justanick says though, if you want to take a city, its population, and its improvements relatively intact, auto-bombarding -- especially with large arty-stacks -- is a bad idea. But if you plan to raze it anyway... Fire at will, commander...