I'm just fishing for some ideas here. Ordinarily macOS doesn't go and delete things on your hard drive.

How much space is left on that macOS disk that contains that Virtual Machines folder. You don't need to go into Windows to do that.

What "Virtual Machines" folder is coming back empty? Where is it located? Is it the one where you expect the <virtual machine name>.vmwarevm folder that contains the virtual machine's vmx and vmdk files to reside?

You don't by any chance have iCloud's "Optimize Mac Storage" option turned on, with the Virtual Machines folder located in your Documents folder?

I hope you're not using Time Machine to back up your virtual machines.. As they say in the movie Ghostbusters "it would be bad".