The option you required is checking Automatically grab and ungrab the mouse, it's in Edit -> Preference -> Input
Thanks for your answer.
I was actually looking for an option / a way so that the VM would grab input mouse directly, without clicking in it.
This option should work without clicking. Have you tried on win7 and win10 guest?
So... I don't know if it's my problem, then, but I have to mouse click or keyboard click when the VM is on focus so that the VM grabs mouse and keyboard input.
If I well remember, in the past, the VM grabbed the first mouse or keyboard click.
Ungrabbing works without problem.