Bluetooth device support is  limited in Fusion. See https://docs.vmware.com/en/VMware-Fusion/13/com.vmware.fusion.using.doc/GUID-9C42F404-F254-4E42-A5A7...

In particular, the docs state that Bluetooth HID (human input devices) are not supported for Windows guests. Since the controller may be considered an HID device, that might explain why the VM can’t see it.