I have 0.24.7 beta 3, vsm2.dll, simplicity theme.
When switching between apps with ALT+TAB, all open windows are shown. Can this behaviour be changed to show only windows from the current workspace? Or, at least, reorder cycling to put first the wondows from the current workspace?

It depends on the VWM module. ckvwm can do that, as can rabidvwm. Afaik vwm2 can't. There's no real reason to use vwm2 anyway imo.