We started our SEP system with the VM servers. Didn't move P to V, but that's not an issue.
We've not seen any issues related to the SEM servers being VM.
Any issues have apparently been unrelated.
I originally installed SEM to the VM servers August 2008, moved to production in September 2008, and have upgraded several times.
I do find it seems to take more memory and processor in the VM world, but that's just comparing notes with those who have physical installs with much less ram and processor. I had to up ours due to pegged useage during LU and such.
MAYBE wirh RU5 I can drop it back, dunno.