VMWare virtual machines can have virtual serial ports, but since (recent) Macs don't have physical serial ports anymore, Fusion redirects the virtual serial port to a file. I don't know what the limitations of printing support in Fusion are, but a supported guest OS is probably required. (I believe a new printer port is created (TPVM) which MS-DOS is not aware of. IOW, not MS-DOS, however, you didnt' mention what OS the "other" VMs are running.) So basically, it is not possible with MS-DOS through serial port. You'll need to use some other common protocol such as TCP in order to connect MS-DOS to the printer.

I haven't done that in a while, but I believe at the time you print, it will create the file, which is when it asks you to specify the filename. However, that file might be text only and might not include any formatting info, although that may be acceptable for you.