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It goes like this, your Kali installation is a guest of your main operating system, as such it has no direct connection to the outside world but uses a bridge to the main system connections, it will show as a wired connection in Kali [whatever way the main system connects]
Now, if you want to use a direct wi-fi connection for your VB, you will need an additional USB wi-fi dongle that you can connect to from Kali using the usb controllers.
This is something you should already know if you have the experience to be using Kali