Think that the MAC address of the virtual machine cannot go out from the host machine. That's because the switch connected to the server will block the machine if the traffic coming from there has a different MAC address.
That's why we normally suggest you to set NAT or route the request through the machine, but making sure that the MAC addresses are changed in the process.
Some good general guides can be found at:
http://help.ovh.com/VMware
http://help.ovh.com/Proxmox