Una rapida ricerca su Google mi ha dato questa spiegazione.
Setting first octet "02" actually sets the b2 bit indicating that the
MAC address is locally administered. Looking at this MAC address thus
indicates that the MAC address is changed by local machine
administrator. But, its still good if you just want to hide your
original MAC address instead of spoofing someone's MAC address.
Another guess on why this works may be due to Windows Network Bridge
feature. When you bridge 2 or more network adapters in Windows, the
Network Bridge sets its MAC address to the first network adapter added
to it with the first octet set to "02". Thus, if the network adapter
drivers didn't allow the change, it would make the feature not work.
Fonte: Problema TMAC con rete wireless e amp; Soluzione alternativa
Quindi, immagino che la soluzione migliore sarebbe utilizzare qualsiasi distribuzione Linux su VMware o VirtualBox e cambiare il tuo mac in quello con quello che vuoi. Linux non ha questa limitazione. :)