I've started a new ME2 playthrough. I finished the Lazarus Project mission. On the "Mission Complete" screen it tells me what bonuses I'm getting for having beaten ME2 already. It says I get to keep all the heavy weapons I got during previous playthroughs.
If this were New Game+ that would be true but it's not. I just imported an ME1 save. I really would like to start over with all my heavy weapons but you lose more than you gain in NG+. Annoying little oversight on Bioware's part.