When we have Wi-Fi adapter in our PC, we may use it as a network interface of VM, but the VM will recognize it just as another wired interface. But there is possibility to connect an USB Wi-Fi dongle adapter and enable it to the VM. VM then will see dongle as native USB Wi-Fi adapter and it allows to work with WiFi networks natively.
For example, we have the TP-LINK Archer T2UH USB dongle, Windows 10 as base system, Lubuntu 19.04 as the virtual machine and VirtualBox 6.0.8.
As first thing, the base system needs to have proper drivers for the dongle. Win 10 already has it. Then in properties of VM, inside of USB section enable USB version 2 and add the dongle using the second option Add New USB Filter, in our setup MediaTek WiFi.
And that is all. Boot VM and we should see dongle as the Wi-Fi adapter (in linux we may check if it recognized via lsusb).
Then we may use the network manager of guest OS, and we should be able to see all available Wi-Fi networks and setup theirs parameters and connect to them.
Works!