This is what I did to modify the normal behavior of the Command+Control to not Grab Focus away from the VM in either Full Screen Mode or Windowed.

I added the following to the "/Users/${USER}/Library/Preferences/VMware Fusion/preferences" file.

pref.hotkey.shift = "TRUE"

Note: Even after adding this the message on the Status Bar, "To return to your computer, press Control-Command" shows as normal and does not reflect that the Shift Key Modifier is now a part of the Hot Key Sequence necessary to Grab Focus out of the VM. I do not know what else may be or is affected by adding this entry.

If you modify the preferences file with the above entry you must remember that you have done it. You have been warned!

Edit: To clarify, if you added the suggested entry you must press Control+Command+Shift to set focus back to OS X.

Edit 2: Modified previous statement referencing message going into full screen mode.

Edit 3: Sorry about so many edits, I have removed the statement referencing full screen mode message as I'm getting mixed results.

Also making the change suggested requires the Shift Key to be used as a modifier to other default Control+Command Key Sequences.