Up to you. I never do as it's rare I use a virtual machine to go online but if you plan to use it for internet browsing then I would say yes.
I use Virtualbox so am not sure how well sandboxed MS virtual Machine is. In Virtualbox you have the choice to allow or disallow shared folders between virtual machines and the host system. Shared folders between the two are a way for a virus downloaded in a virtual environment to spread through your network.