You can pick one that suits your situation. A USB adaptor will give you a the choice of antennae. Built-in aerials are almost always omnidirectional.A laptop or desktop is a noisy environment to sit an antenna next to or inside.
There are some strong arguments against built-in adaptors. Others have made their points about USB passthrough for VMs but even if I were running Kali on bare metal -which does have its own merits- I would still use an external USB wifi adapter. It's main focus is for graphic cards, and this kind of virtualization feature requires you to have IOMMU supported by your processor. PCI Passthrough, even not being a new topic, is still a pain to configure to be worth it(and it is a requirement to enable all pentesting related capabilities of the card - item2).Option to add external antenas through the dongle RP-TNC/SMA connector that are directional like the classic Cantenna or omni if you dont know where your target(s) is/are physically placed.It's not only about the manufacturer, but the chip that matters most. Here, you have a document that displays what are the best and more capable(with more features) USB devices for wireless monitoring.
You dont have to install drivers on Windows, since you will present this dongle using usb-passthrough.
Since a Virtual Machine is doomed to use the hypervisor infrastructure to create network cards, depending on how this is managed, could break monitor mode and other capabilities related to pentesting. Allow the dongle to be accessed using usb-passthrough.It's easier to chose hardware if you have a wireless card that can be removed without having to teardown your computer/notebook. Monitor Mode support, or other features like this card that supports packet injection.Some of the reasons that would explain the limitations of using your built-in wifi adapter instead of a USB dongle on a pentesting focused vm: