On APFS volumes, time machine first creates a snapshot of the drive, then backs it up asynchronously to the external volume. Once snapshotted, it works on a file by file basis, not on a 'bundle' basis, because it doesn't have an understanding of the overarching application file structure.
There is no way to reliably back up a running virtual machine, outside of running a backup process *inside* the guest. That's basic computing 101 - backing up open files may or may not work because of transient writes. Notice I said 'reliably' - with snapshots it may work, but you can't guarantee that it will. And on non APFS disks, all bets are off as there's no snapshotting involved.
But there's a second risk: because of the age-out function, different portions of the VMDK file can be aged out at different times. Time Machine has no application-level awareness - it just operates on the file level. You may have luck restoring shut down virtual machines, but if one of the bands of the virtual disk was aged out and deleted, you'll end up with a broken machine. And since if you have time machine turned on for a virtual machine, it's going to churn through disk space - an 80GB VM running for 8 hours will generate 640GB of backups, which makes the age-out probability much higher.
It's not a VMWare problem, nor an Apple problem - it's the interaction between two incompatible use cases. You'll need to find another way to backup your virtual machines. Wila's application is a great option for that. I myself use Carbon Copy Cloner to take periodic complete backups of my machine - far far better for full restores than time machine (which is not a complete machine backup BTW), including the virtual machines. But when I've done a lot of VM work, like after patch Tuesday, my backup approach is to shut them down and use finder to copy to an external backup.