If VMware Workstation is still running, but the Virtual Machine shut down, you just have the risk of locked files and perhaps some configuration files not completely up to date.
After shutting down the VM if you close the VM's Tab in the VMware Workstation UI it should release the .lck files/folders and close open handles to other files that are a part of that VM. Thus not having to close the VMware Workstation UI to backup a VM whose Tab is closed.