Yes, MOSEK runs fine on a virtualized server. The idea behind using virtualized servers is that each server actually only use a fraction of the native servers resources. However, particularly when using MOSEK to solve large problems, then MOSEK can exploit all the resources of computer and hence using a virtualized server may cost performance. If performance is important it is recommended to test whether MOSEK runs as fast on the virtualized server as on a native server for the relevant applications.