I don’t have VMWare Fusion, so I can’t offer much in the way of suggestions for this.
Emulators, virtual machines, and games often work at a very low level which can be below the level that Keyboard Maestro works at. As such, what works and what doesn’t is very difficult to known, and can easily change from version to version, and based on a variety of settings.
Virtual Machines often have different modes that they can run in, and often some of the modes will work better for this sort of thing, so that instead of the emulator trying to play lots of games, it just accepts keystrokes as normal and translates them. But you’ll have to look at your VMWare settings to figure that out.
Hopefully others who have VMWare Fusion might be able to offer more advice. And you could perhaps look for a VMWare Fusion forum and ask there.