Today I just updated to the latest build, 12.1.0 (41489), and I report that this issue still persists on this build.
Additionally, now, if you are using a 4k display as your external monitor, and you are using a non-standard resolution (although still HiDPI), do note that you will lose the 'crispness' of text with this update... text appears a bit fuzzy compared to before, be it in Retina or External Monitor mode.
[EDIT] In addition to the above, since now build 41489 adds support for tabs, this takes over the Ctrl+Tab shortcut, and this is no longer sent to your VM, even if you create an override. If you disable tab support from Finder/Preferences, this still does not free up the shortcut.
Do note that this shortcut is essential to developers, like me, to switch between open files. This has seriously affected my workflow.
Last edited: Nov 12, 2016