Normally when pressing Alt+tab to switch to a different window in the Guest OS the Host switches windows, so you lose the focus on the VirtualBox window. This happens even in Fullscreen mode.

You can change this behavior by pressing the Host-key once (default is Right+Ctrl). The Alt-Tab will then remain “inside” the host. Pressing the Host-key again will toggle behavior again.

Unfortunately there is not a way to see the current status of the behavior when in fullscreen mode. In windowed mode you see the status in the bottom right corner of the screen. There is an arrow key pointing down there. When lit, the Guest receives the key presses, else the host receives them. When you leave the Guest windows the status is always set to Off. So when entering the Guest again you need to press the Host-key to re-enable it.