I have been using Linux running inside VMWare running under Windows.  In this scenario, I have to set my preferred layout on both sides separately, and I like it that way: Using a custom keyboard layout on Linux is painless anyway, and as  the virtual machine sees the keycodes not characters, I can use the same xkb file as for  a Linux running natively.

Actually, with rdesktop, it is mixed scenario: RDP uses keycodes, however, rdesktop has keymaps that translate characters (or, more precisely, keysyms) back to keycodes, see the -k option and the keymap files that ship with your rdesktop installation.  These keymaps are plain text files, and rdesktop allows users to use their own keymaps.  I use this mostly to hide "local" keypresses that shift levels from the remote side.  This is a fairly good approach, as it allows to use a standard layout on the Windows side (where custom layouts are a pain), and still enjoy one's custom layout.  But some work is required to write the keymap for rdesktop's back translation.

Usually I've just installed PKL or my Linux stuff in VMs. But lately, one VM in VMWare Player is getting the layout from the Host OS (PKL on Windows) right. But when I use Extend I sometimes get a Win key press in the VM which is hella frustrating. Not sure what to do about that.

One sure-fire way of getting any VM and just about everything in line will be to edit the registry of the host. Then the key mappings will be "hardcoded" at the lowest possible level, just about. But this won't give you AltGr or special locale mappings or other trappings such as Extend.

You can edit the registry by-user if you wish, so only your user account on the host machine will be affected.