You have to hit the Left COMMAND key once and the mouse switches to finder and other apps. If you click inside of virtualbox it activates the virtual machine which in this case is ubuntu. (This assumes that you are running in the default mode which captures on click). It's confusing because it's displayed with a left arrow, but what they really mean is the left COMMAND key. (The one that looks like it has a four leaf clover on it).
The key looks like this: ⌘ It's also known as the Apple key.
This key is on either side of the space bar. Each works the same. So for example if you wanted to print a document in Windows you could use the keyboard shortcut CONTROL + "P" (Press the control key, continue to hold it while pressing the "P" key), on a Mac they use a different key - it's the COMMAND Key not the CONTROL key so you need to press ⌘ and the letter "P" to print. So if you know several keyboard shortcuts for Microsoft Windows, just try them on the Mac but instead of using the CONTROL key substitute the COMMAND key.
The CONTROL key, SHIFT key, OPTION key, and COMMAND key (or Apple key as some like to call it), are all what's called modifier keys. You press them to modify the function of other keys on your computer.
However in Virtual Box they have mapped the left one, to the left of the spacebar to allow you to leave the virtual host's screen and return to Apple's Finder or any other program that's currently running.