I've played some C&C games in Parallels at least with no problem. Not tried Fusion since I switched back to it full-time.
The question is, why play Warcraft 3 in Windows? IIRC, the CD is a dual Mac/Win CD and it runs natively in OSX.
I believe the save game files are the exact same format too, so you could move those over to OS X from Windows.
\Applications\Warcraft III Folder\Save\Profile1
I'm actually replaying WC3 right now on OS X, I bought the Battle Chest since I had played WC3, but haven't played Frozen Throne. I've also picked up the Starcraft Battle Chest, but was extremely disappointed. No jewel case.