Cheating involves many concious physical actions, making decisions, making effort. In addition, if the relationship is exclusive, then by being physical with another person the cheater has chosen themselves and their pleasure over their commitment to the partner. The actions of cheating generally send this message: “I am not happy with an element in our relationship, and I have chosen to get that element from another person rather than solve the problem with you.” It could also say this message: “I value my own pleasure over respecting the commitment we made.”
Fantasizing involves nothing but your imagination and a bit of time. It doesn’t hurt anyone, and is generally limited to only the person thinking of the fantasy, rarely do others find out what someone is fantasizing about unless the person outright says it. It’s not cheating, because it doesn’t involve any effort in having a relationship with someone else. Fantasizing in my mind sends this message: “I wonder what Situation X would look or feel like…” and makes no actual commitment or judgment about Situation X ever existing in reality. Just because I fantasize about Fabio I don’t doesn’t mean if given the chance I would have sexual intercourse with Fabio.
Is fantasizing mental cheating? I think this depends in part on your attitude to sex. I have a liberal attitude, I have fantasies of all sorts of things, most of which I would never want to engage in in real life. I also don’t believe in mental cheating, and no, I do not believe that fantasizing is cheating without getting caught, because the first criteria for cheating is involving more than one person, and fantasies simply fail right there.
I think the question I have to ask to you, is “why not?” Why would fantasizing be equivalent to cheating? I can think of one answer to this, and this is if the partner consciously chooses fantasies over real life. And this is more of a sign that the partner or the relationship has some other problem, rather than a symptom or eventuality of having fantasies.
The reason that the situation in your last paragraph is a bad thing is because making the comment is taking a tangible step towards making the thought of being intimate with each other a reality. Such a comment is in my mind 100% flirting, which is the first step in being intimate with someone, especially when the flirt is about such an obvious aspect of sexuality. Very very crudely translated, I interpret “Next time, you should think about me ;)” as meaning “I think you should consider having sex with me”. And if the person making or hearing this comment is in a committed exclusive relationship, then the comment is inappropriate.