To be fair, you should never install a native program that you don't 100% trust. This could presumably be combined with other exploits - a JS vulnerability that gives you control of Chrome, for example - but if you're regularly running untrusted software on Windows (outside of a VM) you probably have bigger problems.
IMO it's not that clear-cut. A VM is safer than a webpage which is safer than an nacl-plugin, which in turn is safer than an UAP app. But in the end you risk privilege escalation for everything which isn't airgapped.
What about the privilege escalation? I can take a lot of care of what I install, but what if some other person use my same computer and is not that careful.
I wouldn't necessarily dare to install untrusted software on a VM either.
VM escapes are a thing. They have a ton of emulated peripherals, like SATA, ethernet, audio, video/3d, USB HCI, etc. A lot of attack surface. There are still a lot of VM escape bugs to be found.