The default settings in VMware Fusion set the Control key as a mouse modifier, where holding Control and clicking is treated as a right-click. This makes it impossible to CTRL select files in virtual machines.

This can be disabled by:

1. In VMware Fusion access the VMware Fusion menu, then select Preferences.
2. Access Keyboard & Mouse.
3. Select Mouse Shortcuts.
4. Untick Secondary Button. Alternatively, you can double-click the option and change the keyboard key assignment, but I prefer just to turn it off.
5. Close the preferences.