While experimenting in Fusion 8 with some (Mac) OS X VMs, from 10.7 to 10.11, I found that the option to share Bluetooth devices with the virtual machine works in 10.7-10.10, while it doesn't seem to work in a 10.11 guest: where, besides not having any Bluetooth preference pane in System Preferences (and thus also no Bluetooth menu extra), System Information also won't find any Bluetooth device.
Strange...