There is a difference between the cursor of the main OS and the cursor of the OS in the virtual box (VB).
Once you have clicked in the VB window, you are using the "mouse" of that OS.
Then it is normal that your cursor won't go out of the VB window.
There should some text saying "press <key> to release the cursor" at the bottom of the VB window (the key is <ctrl>+<alt> if i remember well), this is used to switch between the two OS'es.
Hope this clear enough...
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