I'm having a similar problem, but only with multiple external displays. If I use the built-in LCD on the Mac and one external monitor, the "Use All Displays in Full Screen" does the right thing, my Windows VM can use all the displays.
If the primary built-in LCD is off (the lid is closed) and two external monitors are attached (there are two DisplayPort ports on this MacBook Pro) the VM does not the second external monitor, it only sees one. If I check the Window display preferences it shows me two monitors that I can extend my display onto, but the second appears to be the disabled LCD panel built into the Mac.
