I have the option checked, but still if I have the VM fullscreened I cannot use Mission Control
I did a simple test. I have two screens (laptop retina and external). I full-screen the VM on the external display.
If I click in the VM to activate that app and hit the Mission Control Button on the keyboard nothing happens.
If I click on the background on the retina (so the VM is not the current app) and hit the Mission Control Button, MC displays.