vCloud does appear to have this limitation (unless someone knows a trick I don't see) -- however; if you import a VM from vSphere that already has eagar thick it appears to stay that way when the VM is cloned. This might work for some base template content, but for "new vm" operations from scratch I don't see a built in method.
That all said - I have not tested this, but one possible option might be around using API methods. If you have access to vSphere API you could detect new VM operations (with vCloud notification tasks) - and send a vSphere API command off to convert the disk. I have not tested this, and I am sure this would officially be unsupported - but might get you going if you have a need.
I have VCD 5.5 and it does not appear to be any different in that version.