<p>Do you know if I can use Visio to forward-engineer a sequence diagram into code (c#)?</p>

<p>Can it be done with Visio alone or do I need a plugin?</p>

<p>What about other diagrams?</p>

To the best of my knowledge, Visio can only forward-engineer code from class models.
As sequence diagrams only really show paths of communication between objects, I suspect that they do not contain the necessary information, except perhaps in trivial cases, for generating code.
Objects with any sort of complex behaviour patterns are likely to involve changing run-time states, of which sequence diagrams aren't really capable of capturing.