1. Open VMware Fusion
2. Import virtual machine from Microsoft
There are two slashes in the "Failed to write content…" message after ".vmwarevm". Also, importing the image failed initially and required the "Retry" button even though the "IE11-Win7-VMWare" OVF file was generated by VMware.
The issue is present in 11.0.1 Beta (20B5022a) but also exists in macOS 11.0, which will most likely be shipping with Apple Silicon Macs.
macOS 11.0.1 Beta (20B5022a)
VMware 12.0.0 (16880131)