I don't remember them saying that but I do know that if I've had to call for support for other software and they know it's in a VM then they usually say it's not supported and that's probably the cause of the issue. Very few problems though with running in a VM though.
I haven't either. As long as your computer is properly spec'ed to run essentially 2 computers at the same time, there shouldn't be much of an issue. While I can understand why they would say what they do. It does make for more variables that they would have to control for and perhaps have to code for as well. I do know that Parallels (which is very popular on Mac) still has an issue with Coherence mode and running certain embroidery software just crashes. On your own and I understand that. It sucks, but I can understand that.
Ironically that same program using Virtualbox and on Linux runs smooth as glass, even in VB's version of Coherence which is Seamless.