No actual traceable data between your MHK computer and the gambling client's host server makes its way to your overseas computer.... from the perspective of any sort of overseas sysadmin the only traffic they'd be able to see is data going over whatever port VMWARE runs on.
Gamble away as far as network sniffing you're safe. If you're doing this on like a public work station, however, theres no telling what else might be installed on that machine... I knew people that would setup scripts to take screenshots and save them to a share drive, so they could check in on what whoever was on the computer was looking at 5 minute increments...