Issue still remains on Vmware fusion 5.0.3. A workaround is to click Vmware Fusion in the Mac menubar and select About Vmware Fusion and close the subsequent pop up window to allow vmware to capture the screen and thus hide the Mac menu bar and Dock. You could also select preferences instead of About to fix it if you like. You have to do this every time you change spaces though, which is annoying.
Regarding the issue, it is very easy to replicate. Just have the Dock set to be always shown and change spaces. When you return to the space with the full screen VM you are greeted with this ( image shown in attached image) . The Dock and menu bar will not dissappear unless you do the workaround I just typed above.
