This connection method also has other advantages, as the VMware Fusion Release Notes explain:

“VMware Fusion’s default network connection type for new virtual machines is NAT, which will prevent the spread of viruses over the network into the virtual machine, and will only expose the virtual machine to external viruses through browser security flaws when you browse the Internet.”

The idea of sharing VPN connections with Windows applications via Parallels is touted as a VPN Tracker feature and explained in detail in a how-to PDF, but it works equally well with VMware Fusion.

The key is setting the network adaptor to shared networking (NAT) as opposed to the bridged or host-only options shown in the VMware settings screenshot below.

With this approach, network traffic from your virtual machine is routed through the existing VPN connection on the host Mac, so there’s no need to install a separate VPN client application on the guest PC.