I use WiFi in a Kali Virtual Machine (VMware in my case).
The connection you get in a plain Virtual Machine (Virtual Box, VMware) is the host internet connection. It looks like Ethernet.
If you wish to use WiFi in the Virtual Machine, you do this with a USB Wireless Connection and then connect this to the VM with USB Pass Through.
This works fine.
You will need to disconnect the Host Network Connection for the Virtual Machine in Virtual Box Guest Settings.
See: VBOX network settings
Try USB Pass Through with the Adapter you purchased. You may need the Linux driver for it.
I use a Panda PUA08 for the USB Wireless and that also works fine.