Whatever runs on VMWare is separate to your OSx. If you are getting Mcafee ads on OSx, then you likely have some type of Mcafee extension installed on your Mac producing them and would have nothing to do with Windows or VMware. If you are getting them only inside the Windows Virtual Machine, then you have adware on your windows virtual pc.
Windows on VMWare is susceptible to the same viruses that a windows computer would be as well. so an antivirus for windows would be required.
However, windows viruses would not be able to affect your Mac, and would not be able to get out of the Virtual machine that is running windows anyway.