Ubuntu

Correct, it shouldnt as Ubuntu is not a program nor would windows recognize it anyway.
Again this is a virtual machine here, a entire OS that is contained inside its own space that you give it under virtualbox so the only way to get ubuntu running in windows is to use virtualbox.
Its not like its a normal program, if it was then windows might pick it up but once again its all virtual and self contained.
Makes sense when you know what a virtual install is, its not a program like IE or firefox.
I know its a little confusing, but thats just how this works.

I can live with a couple of warnings that offer the option to ignore.
I am not discouraged as i find Ubuntu interesting.
I have my Windows set up and printer as wireless. How do I set up a printer in Ubuntu?

That depends, again not my area of expertise as I dont use a printer.
Usually though Ubuntu is pretty fair at printer detection though there are a few brands that are not good with linux.
If you own an epson or HP printer you are in luck as most likely they will work as both brands have excellent linux compatibility.
Brands like Lexmark and cannon though, different story as both brands have zero to no linux support.
If you have a Dell printer it may work as even though dells are glorified lexmarks dell does offer drivers for linux.
Again ask around on the ubuntu forums