VMWare's products seem to be all over the place with respect to capturing on the host. As davey says, on Linux you capture on the host without any trouble. Server on Windows lets you list interfaces but not capture from them. Fusion doesn't provide a BPF device so you can't capture using tcpdump or Wireshark. They do provide their own capture utility, although it doesn't support filtering:
/Library/Application\ Support/VMware\ Fusion/vmnet-sniffer
The equivalent on Windows (in case anyone needs it) is vnetsniffer.
On Mac VMware Fusion 5, the location is: