When I run the virtual machine I get a 'bubble-like' notification along the top of the screen about auto capture keyboard (the message starts 'You have the auto capture keyboard option turned on.
I am running VirtualBox (version 5.0.4 r102546) on Ubuntu 15.04 (64-bit), my client is Windows 7 (64-bit) and I have the guest additions installed (I have attached my log file).