I solved the problem myself so let me share the solution here for anyone else that has a similar problem.
I have done two things but I am fairly sure I know which one solved the problem. I am including both things here in case I'm wrong as I have no intention of investigating more unless somebody needs to know.
First : I updated the BIOS of the motherboard. The 5600x CPU is fairly recent and needed a motherboard firmware upgrade and the firmware seems to change often. I had used the 'check for update' button from the ASUS software and I thought I had the latest, but I looked on their website support page and found a more recent BIOS, so I installed it. I do not think it solved my problem.
What probably solved the issue : When I booted the VM, I had a error "cannot connect to sound stream" ( I don't remember the exact wording ). I didn't care too much about this since sound wasn't important for me and I had a much more important problem : Black screens ! It turns out that solving the sound issue solved the video issue as well ! In VM settings, under the option "Sound Card" I selected "use system default sound card" instead of the other choice "specify host sound card" which lets you select the card in a ListBox. That's it. This solved the sound in my VM, but also solved the black screen problem I had. When I was seeing a video, there were also sound involved and sound caused the black screens. Some other programs caused short sound too and I was seeing black screens that didn't last too long when I was supposed to hear a sound.
In case anyone from VM-Ware reads this and needs more info, you can write to me.
The sound card that was selected that caused a problem : "Acer CB281HK ( 2- NVidia High Definition ... "
The sound comes out of my HDMI monitor, I have no other speaker or headset connected to the PC.
( Motherboard = "ASUS TUF Gaming X570-PRO (Wi-Fi)" and GPU = "NVidia GeForce GT 635" )
The problem also occurred with a GeForce 1550 ti video card.
