In the end, this comment from issue 46 had the solution: I tried pressing F12, F8 and even ESC key in order to configure VirtualBox to boot into the EFI shell but was not able to do so.
#Mac os 7 download virtualbox how to#
Source: How to open apps from unidentified developers on Mac in macOS Catalina Check Gatekeeper is disabled
To get around this security limitation, you need to disable multiple security features in order to install the package. The installation cannot be completed as normal because the OS now require packages to be digitally signed. On macOS 10.15 Catalina, Guest Additions cannot be installed by default.