In short, yes, NTFS volumes being used for Exchange databases and logs should always be aligned (default for Windows 2008) and formatted with an allocation unit size of 64KB even when deployed on VMFS.
Take a look at this article: http://blogs.technet.com/b/mikelag/archive/2011/02/09/how-fragmentation-on-incorrectly-formatted-ntfs-volumes-affects-exchange.aspx
As for quick format, it really depends on how the VMDK was created. If you created it as an eagerzeroedthick disk (in 4.1 by checking the 'Support clustering features such as Fault Tolerance') then selecting quick format is ok. If you chose the default of zeroedthick creation of the virtual disk (if it was available immediatly this is likely the case) then quick format shoudl have been unchecked.
Take a look at this blog I posted late last year for more info: http://blogs.vmware.com/apps/2011/11/using-virtual-disks-for-business-critical-apps-storage.html
-alex