I just tried this on a 2012 15" Retina MacBook Pro (model MacBookPro10,1), and couldn't see a delay with the built-in microphone.
What's your MacBook's model identifier? You can find out by going to the Apple menu -> About This Mac -> More Info ->System Report...
Did you create a new Windows 7 VM in Fusion, or import an existing VM from Parallels?
To make sure it's not just a visual problem with the volume meter not updating quickly enough, could you try recording some sound (with Sound Recorder or some other sound application in Windows)? If you stop recording in the middle of speaking, does the resulting sound file get cut off a second earlier, or does it stop at the correct moment? Also, does it still play back correctly or is it possibly distorted in some way?