For user interface questions, you might want to consult an existing UI guideline, such as Apple's or Microsoft's. There are quite a few more, but those two are large enough players that their guidelines probably reflect what your users expect to a greater degree than most others.
Edit: closing a dialog with the Escape key is covered in the Microsoft guideline (scroll down to "Interaction"):
Pressing the Esc key always closes an active dialog box. This is true for dialog boxes
with Cancel or Close, and even if Cancel has been renamed to Close because the results
can no longer be undone.
I didn't look very hard, but I didn't see anything about auto-resizing columns -- and it's sufficiently unusual that I'd be rather surprised if it was there.
As such, if I were in charge of this, I'd say it's a split decision (so to speak). It's reasonable for the customer to expect the escape key to dismiss a dialog (without explicitly specifying it), and failure to do should should be considered a bug.
Auto-resizing the column in response to double-clicking the border of the column header is not reasonable to expect without specifying it, so implementing it should be considered an added feature.
Caveats:
- If you're developing for something that has its own UI guidelines (e.g. the Mac or iPhone) those are the rules to follow. Microsoft's market share makes theirs an obvious choice for a target that doesn't have its own UI guideline.
- This is clearly a matter of customer relations. You clearly don't want to lose your best customer over something you could implement fairly easily. If auto-resizing columns makes a huge difference to them, and they're a good customer otherwise, it may make sense to do it for them -- but let them know you're doing them a favor because of how much you value them. You just have to be careful about balancing the warm-fuzzy "because you're special" part with the mild guilt-trip of "so we're doing you a favor and now you owe us..." (IMO, it's usually better not to say the "and now you owe us" part out loud, but I don't know your customer).