You might have to use native linux. I like using VMware, BUT, it does have limitations. Just have to know when to go native and what works fine with VMware. Have you tried Virtualbox, it runs good on a Windows box. Its really hard to troubleshoot routing problems remotely.
Since you have the Pro version it should have all the features enabled.
If BB has explicit instructions regarding using the USB to internet it would be best to replicate that exactly so you have a base line to work from.
Myself, if it does not work within 15 minutes of trying to get it to work its best to move on to another plan.
Something else, on your host and possibly the target
$ sudo ufw status
Make sure the local firewall is not actively blocking.
Might want to check this post out.