hello Nick you should have called to ask me this one :-)
Yes you should protect VM, the OS runs within VM and therefore is subject to infection like a normal workstation/server. Without installing on the VM you are at risk of the data within the vm being infected....[if that all makes sense]
The host OS won't pickup the VM sessions as they are in-effect secure machines. So buy some more licenses :-D
If you want to test for yourself goto
www.eicar.com and download the test virus file while logged in to the VM machine :-)
Give me a buzz if you need anything.
av-outsource