IIRC This is down to the disk I/O generated by DB applications in general, and SEPM in particular.
In a normal VM, the disk is shared with a number of multiple VMs. Therefore, the high disk I./O generated by SEP can slow down the performance of all VMs on the same disk.
Obviously, there are factors that can mitigate this performance hit (i.e. dedicated physical disks for SQL attached to the VM, SSDs in the VM Host, etc).
At teh end of the day, it's really up to you and your analysis of your environment to determine if the additional I/O of SEP and the SEP DB will impact the performance of your VM estate.
More documentation below:
http://www.symantec.com/docs/TECH132456