Ok. Here's what I got. Be aware, this problem only started for me when I got into the macOS Big Sur beta (Fusion 11.5 or 12 make no difference, the issue still exists. I use the same VPN software and setup on both, however it could still be a VPN configuration issue). However, due to the fact that connecting to the VPN using Full Tunnel, using NAT for the VM still provides an internet connection to nowhere, I have to assume it is something about how Big Sur or Fusion handle the network hooks. I do not have this issue on macOS Catalina using Fusion 11.5. But hopefully my solution will work for you. It is sufficient for me so long as you are allowed two simultanious VPN connections. I am.
1 - establish two connections to your home network. WiFi x2, ethernet x2, one of each, doesnt' amtter.
2 - Set your macOS network service order. If you need more thruput on your host, set the ethernet to the primary. If the guest needs more bandwidth set the host to use wireless.
3 - Set Fusion to Bridged mode using whichever network connection is NOT the primary. This will make the guest look like a different machine altogether on your home network.
Any combination of Host/Guest VPN status work for me.
Host: None / Guest: none
Host: Split / Guest: Full
Host: Full / Guest: None
and so one and so on.
Again, it requires that you are allowed simultanious network connections. note that even if your Host is set to Full, your guest will NOT have VPN access because it is seen, by your home netowrk, as a completely different physical machine.
Hope that helps some people who run into this as well. Again, I have a test setup so I'm not proposing that the cause of my issue is the cause of yours, just giving you a possible solution.
-dak