I run a win7 VM on OS X. I am running it with vmare fusion.I have utorrent on my VM and it use a socks5 proxy (setup in the utorrent connection settings) for everything it downloads. Thats all I use, no VPN. Only socks5 proxy in utorrent. The VM is allowed connections through my OS X firewall, and utorrent is allowed connections through my windows (the VM) firewall. I don't want to expose my external IP of my router when downloading (except to proxy provider).
At least your VPN or proxy provider knows your external IP. No way to avoid unless you want to connect via Tor, which you shouldn't do, or another proxy.
Does it also use the proxy to talk to the tracker, and also DHT? It may be leaking your external IP via those.
DNS also may be leaking information you don't want logged.
To really harden your VM, you need:
Short answer ...... NO A VM will show up as a separate machine on your network with its own ip and MAC address so any request sent by the VM is VIA the PROXY. This is why the VM never comes in contact with the outside network. Hence your anonymity is not jeopardized.
I have included a link with more information. http://computer.howstuffworks.com/firewall4.htm