The same problem persists with Windows Pro 10 (Build 10240) 64-bit on VMware Fusion 8.0.0. 2103067 on Mac OS X 10.10.5 (14F27) Yosemite. See explanation at
Fixing Inverted Caps Lock on VMWare Fusion, Parallels, or Remote Desktop
http://blog.joshuaadams.com/index.cfm/2008/7/29/Fixing-Inverted-Caps-Lock-on-VMWare-Fusion
Additionally (as with previous versions of Windows, Fusion and Mac), the mouse pointer-cursor becomes WEIRD icon (autoscroll icon) for instance when logging some sites. See a picture and explanation of such autoscroll icon at
Satellite P845t-S4310 win8
Satellite P845t-S4310 win8 - TOSHIBA FORUMS
Autoscroll icon at http://forums.toshiba.com/t5/image/serverpage/image-id/1481iFB1F5F9E5E6452DF/image-size/original?v=mpbl-1&px=-1
None of those problems arise when working on Mac. They arise only on Windows over Fusion over Mac.
How to fix such issues?