If your host machine is compromised then the guest OS can also be compromised. So there is no benefit from running your wallet in a VM under windows.
I highly doubt anyone is going to write malware that can compromise a virtual machine and a the guest. It's by no means 100% secure, but it definitely offers more security. For added security, you can buy a USB flash drive and install linux on that. At least that way, a compromised windows system has no chance of compromising your (secure) linux system.