Virtual machines use a separate 'virtual disk' image where everything is kept separate from the Mac. However you raise some very interesting questions. Normally, in pure virtual machine/virtualization environments, the hypervisor (virtualization software manager) keeps every VM separate from every other VM. They don't even know each other, much less the host operating system, exists.
HOWEVER.... with Unity technology, that's blurring the lines: Windows apps can be displayed on the Mac desktop. I'm wondering: is it just a simple DISPLAY, or does it go further than that?
I suspect that it's just a display. When dragging and dropping, the files have to be transferred through the hypervisor. I'll do a bit more reading.
Hope your test results come back OK!