Wierd - I know I replied to this a week or two ago, but now is showing up as a new thread. Gremlins must be about.
In general, unless you are creating your own packets and inserting VLAN tags, the VLANs are stripped by the time they reach the VM - by design. Usually the VM should not know it is assigned to a VLAN.
The VF on the 82599 does not support FCoE.
I've not seen the error you are showing. Are you trying to do SR-IOV on some VF's and do FCoE to the PF? Do you have the latest drivers?
thanx,
Patrick