This issue is related to the adapter driver settings.
For Windows with vmxnet3 adapter there is an option called EnableMonitorMode in the registry under Computer\HKEY_LOCAL_MACHINE\SYSTEM\ControlSet001\Control\Class\{4d36e972-e325-11ce-bfc1-08002be10318}\00xx where xx refers to your adapter, just change the value from 0 to 1 to enable monitoring mode and VLAN tags should appear in Wireshark.
Note1: To find the adapter number (00xx) in case you have multiple adapters, you can compare the "DeviceInstanceID" in registry to the "Device instance path" under the Adapter properties in the Details tab.
Note2: Once monitor mode is enabled, then VLAN tagging at the Windows OS level will stop working in case you were using.