For everything else, icon-wise, I can double click. But using the classic control panel in Windows 7, they appear to still be links, so when just single clicking it, will launch the applet, which is not behaviour I want. If this can be done via group policy, that'll be doubly awesome.
I don't think this behaviour can be modified, and frankly am not sure why it's such an issue. I too prefer double-click-to-launch everywhere, but hardly even use the Control Panel directly to be bothered by this. I find it far simpler to type a few words in the Start Menu and launch the chosen applet directly.
Anyway, one possible workaround could be to use an All Tasks folder shortcut, which will allow you to double-click to launch applets, just as you prefer.