It works!
On Windows by default only administrators can create symlinks. When I start VirtualBox as administrator, I can create symlinks without any problems.
In order to be able to create symlinks without starting the VB as admin, you need to set this permission for your user/usergroup. Here is a short how-to.
The only problem is — I have not found a way to permit creating of symlinks to admin-users. I don’t know, whether it’s possible.