To my personal knowledge, this goes for both Natapp and Nimble and in a known issue.
Creating a dummy VM on the other datastore (to have a .vmx there) apparently works as workaround (Kudos to Dries).
Can't help you further then this, i'm sorry.
So, no your not missing anything nor doing anything wrong and yes, i hereby support your request.
PS: little tip on the side: Change your title so people know the request from the topic to gain more support
You're not the only one, trust me!