Microsoft’s View on Virtual Software they do not own.
Microsoft and VMware

My View:
Microsoft Tech Support will not like it, but they will help. 3 cases in the last year and no issues too much. Unless your Exchange Server(s) are huge, Exchange will not have any issues running in VMware.

I run Exchange servers with Mail Stores that range from 25GB to 180GB. I would use a iSCSI/SANs if your databases are over 50GB. However, if the environment is generic (no third party applications running with Exchange) you can run up to 150GB local (No SANS/iSCSI).