Forgive me while I laugh at this. If an employee's computer is compromised, the company VMs running inside it are vulnerable. It makes no difference that the connection is secure if one endpoint is not.

The safe way to do it is to hand the employee a locked down device strictly for work.

An alternative, maybe, is to hand them a locked hypervisor which allows them to run personal, alongside work VMs (but not allow them to install anything at the same level as the hypervisor (no dual-booting)).

Edit: Thinking about this, the company may issue USB secure tokens linked to a truecrypt drive. The employee would dual-boot either into the work environment (locked down) or a personal environment, with the warning that the token must never be connected in the personal environment.