I have run C2 using Parallels 7 VM on an iMac.
In "Coherence" mode (meaning the windows integrate seamlessly with OSX) the performance is worse than running in "Regular VM in A Window" mode.
Having said that, the output games were fast in Chrome (in the VM). It was C2 itself that was slower to respond in dialogs in "Coherence" mode versus "Regular VM in a Window" mode.
At the moment I am in native Win7 Bootcamped mode, and having used native C2 vs. Parallels VM (in Regular Mode), I'd say the VM worked just fine.
(I am in native Bootcamp mode because I wanted to play some more Borderlands 2, not because C2 was slow in the VM :)
So to summarize: C2 in a VM is fine.