I personally have not witnessed any scary behavior. Most of what I have seen are people asking to be boyfriend/girlfriend (which on VMK seems to mean that you will not talk to other boys/girls unless you get "permission" and will always come when called) While not being my favorite activity, it probably is not harmful. The worst I have seen are people who are intentionally annoying and boorish. I saw someone today calling people "as whole". They usually don't last long before they are reported and banned. While VMK does try to eliminate these kinds of things (name calling, rude room names, etc.) they only get rid of it when it is reported, so it will be out there for a little while.
I will not tell you how to parent, as you have to do what you are comfortable with, however if I were you (which I am not) and I were in your position (which I am not) I would lay the following ground rules:
1. You will not cover the screen when I want to watch - that will be an immediate "grounding" from the site
2. You will report to me immediately any time someone makes you feel uncomfortable. If I am not able to see immediately, you will note the persons name, the time, and log out of the game right away. (I would then ask VMK to review the logs to see what was going on)
3. You will not participate in any harassing behavior or any other behavior that you would not do in front of me.
I would also give my child tools to deal with situations that come up repeatedly. ie: if someone asks you to be their boyfriend, you can say that you don't play that game. if someone is asking for personal information, you can say that you are not allowed to give info in the game. Some people also give their children rules about trading to help avoid scammers (who are quite prevalent - but mostly seem to be 12-16 year olds)
As I said, I am not telling you how to parent. You need to decide what you feel comfortable with. It sounds like you are not comfortable with the current situation, and I would not be either. If your son is hiding something, something uncomfortable (at least for him) is probably going on. VMK is better than most of the internet, but it is not fool proof.