I’ve been having this problem on my MacBook Pro 2015 Retina edition when running Windows 10 in Parallels 11 or VmWare Fusion 8.x
The machine is just so slow, it is almost intolerable.
After checking what was going on I discovered that the display service was consuming too much CPU.
The fix? Disable Retina support and use scaling instead. I guess it is just far too many pixels for the VM Host to handle.
Yes, unfortunately the display quality will suffer greatly, but it is not unusable, and the performance boost you get is well worth it.
This works for both VmWare Fusion and Parallels Desktop.
I hope that eventually both companies will solve this.