VM111 uses more than RS232 Rx and Tx line, and it uses the handshake lines to control the PIC ICSP signals directly, obviously not through UART serial characters.
I have seen stated in a Vellmann document that the programmer doesn't work with USB RS232 adapters. I'm not sure what's the exact reason, it may be either due to level issues or different timing of handshake signals through virtual COM port. If an USB-to-RS232 bridge should work with the programmer, it must surely provide all handshake lines of the 9-pin RS232 connector. And as mentioned by 00kam, correct RS232 level signals.