This continues to be a problem in VMWare Fusion 5.0.3 running on Mountain Lion 10.8.3.
Basically, the "Hide Menu Bar in Full Screen" setting stops working after a VM has been running in a full screen for a while. By "stop working" I mean to say that moving the mouse within Windows to the top of the screen causes the Mac OS X menu bar and VMWare Toolbar to appear, which is very annoying.
I am not sure when exactly it stops working. However, behaviour becomes even odder when I have two Windows VMs open, each in their own Full Screen space. Sometimes I will observe the problem only in one VM but not the other, and then sometimes the problem will alternate between them. By alternate I mean that the problem will happen once in one VM (the menu bar appears with mouse at top) and then will not happen again in that VM when the mouse goes to the top. But, if I switch to the other VM, the problem will happen once there and then not again until I switch back to the first VM.