Did this work in Fusion 8/8.5
In 8.5.8 on a Mac Pro 2013 it also don't works, but different: 8.5.8 ignores the third 1600x1200 monitor and mirrors the Windows10-1703 vm on the two 4K monitors. Can't extended Windows desktop over the two screens as long the third is connected. Windows says there is only one monitor.
It works now:
OSX Preferences / Mission Control / Display have separate Spaces
must be off, then all 3 monitors can be fullscreen in Fusion
P.S. Maybe somebody is interested in this too: Fusion also works with the Developer eGPU Sonnet eGFX Breakaway Box RX580 and two 4K screens connected via eGPU.