Because of the placement of the DFW filter on the IOChain of the virtual NIC, we can filter traffic between VMs on the same subnet.
You'd just create a rule that says
Source: VMA, Destination: VMB, Service: Any, Profile: None, Action: Drop/Reject.
That rule only denies traffic coming from VMA headed to VMB. What says is 100% correct - you could create a second rule from VMB to VMA.
Another option might be to put both of the VMs in a Group - Group-1, then create a rule that says
Source: Group-1, Destination: Group-2, Service: Any, Profile: None, Action: Drop/Reject.
When the source of that rule is evaluated, either of the VMs would be matched. Same for the destination. So traffic from VMA to VMB, or VMB to VMA would be blocked by the rule, assuming both VMA and VMB are a member of Group-1.