I was just reading a comment that someone who was using Fusion had an issue with the fact that you had to use the mouse when you switch input back to the VM.
This post is for you. When you bring up expose (F9) to switch between windows and you switch focus back to the windows VM (I am assuming you are not using Unity at this point), all you have to do is hit Command - G to force input back to the virtual machine.
This way you don’t have to reach for the mouse!!