That happens if a Supervisor password has been set within the BIOS. I just tested this and can reproduce the behavior you're describing. If you can't remember the password that was set, and you have write access to the VM's nvram file, you can wipe that file out (make a backup first!) and the BIOS will be reset to factory defaults.
EDIT: So it looks like this can happen if your VM's .vmx file already has a bootOrder defined. I tried deleting that line from the .vmx, saving the change, and starting the VM. Then the Boot menu was available.
Of course, most of the changes you'd want to make there are available in the VM's Edit Settings page, but at least this should get you to the BIOS setup if that's your thing.
mike