Theoretically if there was a virus/trojan/whatever made for Fusion that targets VMs, then I wouldn't see why not.
However, if you were to say install Windows on the VM, then of course install a decent End Point Security product, then that product should be able to detect said infection from another machine (ie OSX).
I personally havent seen a virus like this, but do keep in mind that as this world gets more VM-ish it may happen. Thats why its important to protect each OS with appropriate firewalls, AV, IPS, etc.
I personally use Blink for my Windows VMs since it provides generic based protection to detect malicious software, API and Kernel calls, has host-based IPS, and more. At least that gives me a guarantee that my Windows VMs are safe.