We really need some features of the Windows and some of the applications are mainly created for Windows OS
Really? Like what? I'm thinking of games, but that won't work well in a VM anyway.
It is still possible for malware to infect your host system, if you transfer infected files directly between the guest and host operating systems or use shared folders.
Copying a file doesn't mean you're going to execute it.
An increasing number of malwares can identify whether they are running inside a VM or sandbox and keep their malicious payloads from executing and this implies you may run compromised software in a VM and without even knowing, but when you run it on your main system, it could unleash its full potential.
Obviously, you shouldn't run untrusted software outside the VM. If you do that, you could just as well not have used the VM.