IMO From a general file management standpoint keeping files on the Desktop is a poor practice and especially with Virtual Machines as I've seen it time and again a User wants to clean up the Desktop and accidentally deletes the VM! 
A safer way is to maintain the actual files elsewhere and use Aliases on the Desktop instead. If you don't want to keep then in the default location pick a place other then the Desktop.
That said hopefully you didn't copy the VM's while they were running and with VMware Fusion closed go into the Virtual Machine Package and delete and .lck folders/files and try again.