Update on this one:
Fusion appears to render with whatever GPU is driving the current display the VM window is residing in.
Regardless of which display is set as primary in display preferences, or what is connected when Fusion is started or the VM is powered on, graphics performance within the VM is bad when on a screen driven by the eGPU, and normal when on the internal display.
As per RickShu, eGPUs are not supported, and looks like because they're flagged as removable devices. Not sure if there's a workaround in the VMX for that, or if there's a way to pin to a specific GPU.
In the meantime, at least moving the VM windows to the internal display allows the VM to be used.
2019-02-08T11:52:24.637-05:00| svga| W115: MTLRenderer: Ignoring removable device AMD Radeon RX Vega 56
2019-02-08T11:52:24.637-05:00| svga| W115: MTLRenderer: Ignoring removable device AMD Radeon RX Vega 56
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Device name: AMD Radeon Pro 560X
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Device headless: FALSE
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Device lowPower: FALSE
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Device maxThreadsPerThreadgroup: 1024x1024x1024
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Device recommendedMaxWorkingSetSize: 4294967296
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Device depth24Stencil8PixelFormatSupported: TRUE
2019-02-08T11:52:24.639-05:00| svga| I125: Metal 2: YES
2019-02-08T11:52:24.639-05:00| svga| I125: Metal Arg Buffer Support: Tier 2
2019-02-08T11:52:24.640-05:00| svga| I125: Metal Device PCI ID: 1002:67EF
2019-02-08T11:52:24.640-05:00| svga| I125: Metal Device chip: Baffin (GCN4)
2019-02-08T11:52:24.651-05:00| svga| I125: Metal Device plugin: AMDMTLBronzeDriver 2.4.9 20532
2019-02-08T11:52:24.652-05:00| svga| I125: MTLRenderer: Enabling workaround for depth zeroing
2019-02-08T11:52:24.656-05:00| svga| I125: Started Shim3D
2019-02-08T11:52:24.656-05:00| svga| I125: MKS-RenderMain: Started MTLRenderer