The VirtualBox extensions CD comes with an installation script
VBoxLinuxAdditions.run that requires a terminal. There is a wrapper script
autorun.sh that tries to open a terminal emulator and run
VBoxLinuxAdditions.run inside it. It tries
xterm (as of VirtualBox 4.3.28), but none of them are installed by default, so it gives up. The other distributions you tried probably have at least xterm or gnome-terminal, whereas elementary OS only has Pantheon Terminal (
pantheon-terminal) in the default installation.
If you open the CD in Files, highlight
autorun.sh and select “Run” in the menu, the errors complaining about the inability to run a terminal are written to the log file
.xsession-errors in your home directory (along with a lot of other crap).
To install the VirtualBox extensions, first select “Install Guest Additions CD image” in the “Devices” menu of VirtualBox. Then open Pantheton Terminal and type the command
Adjust the username and the VirtualBox version as suitable. You can save typing by using the shell's completion feature: press Tab after typing the beginning of a file or directory name to automatically insert the rest, if what you typed isn't ambiguous. For example, if you're the only user on your computer, you can type
If you no other removable media is currently inserted, you can even save the first
V. And conversely if you have another removable media whose label begins with
V you'll have to type more characters until that part is disambiguated. Similarly, if other users have currently-mounted removable media, you'll need to type enough of your username after the second
/ to be unambiguous.