How do I get the Capslock key in windows to work with narrator when in VMWare Fusion

This is somewhat trickier than ideally it would be but it is possible; I use Jaws in a Windows 10 VM under Fusion daily with the caps lock key used as the Jaws key. You need set up a few configurations and use 2 additional pieces of software.

1. On your Mac under System preferences -> Keyboard -> Modifier keys set Caps lock to 'No action'
2. In the voiceOver utility set VO to only use command/option as VO keys and not caps lock
3. On your Mac install Karabiner Elements (link below) and use it to map the caps lock key to some key you don't use, I use numeric keypad 1
4. In the Windows VM install SharpKeys (link below) and map the key chosen above (in my case numeric keypad 1) back to caps lock.

It is fiddly and annoying but once set up it just works.

Karabiner Elements: https://pqrs.org/osx/karabiner/
SharpKeys: https://www.randyrants.com/category/sharpkeys/

So if I read post 1 correctly, if i want caps lock to work in a VM as a screenreader modifier, I can not use it as my voiceover modifier in MacOS?

Another far less fiddly way would be to map the Windows insert or caps-lock keys to a macOS key combo from within Fusion's preferences. That is what I do.
This assumes of course that you are willing to use another key combo other than the caps-lock specifically.

Re comment 2 - in Fusion preferences go to Keyboard and Mouse and disable Mac Host Shortcuts. This way things like command-tab get sent to the VM and not the Mac. You use control-command to release focus from the VM.
For comment 3 - if you are using caps lock as your VO keys the problem is that when in the VM the caps lock gets intercepted by VO instead of going to the Windows screen reader. You could of course turn VO off while in the Windows VM. For me I jump back and forth enough that this doesn't get under my annoyance threshold.

And of course the last commentor is absolutely right, if you are open to use another key for your Windows screen reader then it can be somewhat simpler. But my muscle memory of caps lock as my Windows screen reader command key is just too strong!

I've been trying to live without the caps lock key in my Windows VM because NVDA and JAWS are willing to use insert. Of course my Mac keyboard doesn't have an insert key, but I successfully remapped the ` (accent) to insert in Windows with a flaky half accessible key mapper I won't recommend. The problem is that Narrator doesn't seem to allow any key but caps lock to control it, and I really should learn to use Narrator some.
I keep failing in my attempts to make any type of key remapping work for the caps lock. My question is: how does a screen reader user enter the necessary keys in the dialog in VMWare Fusion? If I'm not running VO I can't figure out what I'm doing, but if I am than either the wrong keys end up in the box or nothing ends up there because VO ate the keypress. The bypass Vo command doesn't seem to work either.
Also, does anyone know a command to force Fusion to capture keyboard input? I have far more trouble getting it to capture input than I do getting it to release it.

If you are using Windows 10, build 17763 (October 2018 Update) or later, both the Caps lock and Insert keys serve as the Narrator key by default. You can change this in the Narrator Setting (Windows + Control + N) as well using the "Select Narrator Key" combo box, the options are Caps Lock, Insert, or Caps Lock or Insert. For more information: http://aka.ms/narratorguide (Chapter 2 Narrator basics).
Try and see if this works for you. Thanks.