I have the same problem with workstation pro 15 on a centos 8 host inside of my Ubuntu 18 guest. It is incredibly annoying, but I’m willing to tolerate it for now because workstation pro is the only solution that I found with 3D hardware acceleration (but only after I spent hours figuring out that a secret “allow blacklisted driver” flag was required for my graphics card).
The only other thing that drives me nuts is that I can’t figure out how to make the guest fully capture the windows key (always goes to the host even in full guest input containment mode - forgot the name for this).