As I understand the First Slice, it's a special promotion for owners of NVIDIA hardware. For example, you can only download it if a scan of your computer turns up an NVIDIA product. So I would not be at all surprised if it checked at run-time for NVIDIA graphics hardware as well.
Here's the tricky part: even if you have a Mac with NVIDIA hardware, your virtual machines on that Mac do not have NVIDIA hardware. The virtual hardware will identify itself as "VMware SVGA II," even if you've enabled the experimental support for DirectX.
So this may be why First Slice doesn't run in a Fusion virtual machine. Disclaimer: I haven't tried it myself yet, although I will.