I have the MCX354A-FCBT and it works fine in VMware ESX 5.5 in 40GbE mode, it will connect and show up as 40000Mbps links. Just make sure that whatever you are connected to supports 40GbE, if the other end can only do 10GbE, it will link at 10GbE.
This is using the stock drivers from Vmware. I have not had a confirmation on if the drivers linked to from the Mellanox site are better to use or the stock ones are better.