To be honest, it doesn't sound much like an issue specific to XP or Excel. My first thought would be bottleneck and from what you described and already checked, I'd tend to agree with your idea that your SAN would be a good place to look.
Have you checked the datastore performance while this was going on? Specifically I'd think to look at your IOPs and your read/write latencies for the VM when it was processing the large amounts of information. If those latencies start creeping up very much I think you might have your answer, and of course if the IOPs close in on the max for an array that would also be an indicator.
If possible, for a test you could grab some local storage with similar performance to your old physical machines on one of your hosts and assign it to one of those VMs and then shift the temp files over (or maybe preferably build a new VM off the local storage). Otherwise, a RAM Drive does sound like a good way to rule it out as well.