Nope, you cannot have automatic MSAA in this case. It was literally called explicit multisample when it was first introduced to OpenGL for a reason.
You have to fetch each of the samples from your multisample texture and do the MSAA resolve yourself in the shader. Multisample color textures are a DX10 hardware feature, multisample depth textures are a DX10.1 feature but OpenGL makes this pretty transparent. Since multisample textures were not introduced to GL until after DX10.1, in most cases you get both (multisample color + depth) in GL.
I have an old answer here that might help to further clear things up.