The VMware server runs on Linux much better than on Windows.
There is nothing to do with security or any security related things.
The VMware ESX, ESXi based on RedHat Linux that is why runs the VMware better on Linux than Windows.
I've been using it for 5 years so I have "some" experience in it.
When you start a Linux VMachine on Windows it takes about 1.5 times to boot it up than on Linux(CentOS).
Anyway both are good for VMware, but on Windows the VMachines could be slower.