I've been suffering from the full-screen issue since last fall and just now found this thread hoping to find a solution or at least recognition of the issue from VMWare.
I need keyboard shortcuts. When running more than one VM or more than one screen, the current behavior is not usable.
I didn't know that Parallels has addressed this. Guess I'll be switching to that soon if there's no fix on the horizon.
In short: PLEASE FIX THIS. It's a glaring problem for anyone who uses full-screen VMs on a daily basis.