Mine (Windows host) looks a little different:
In this image, the TP-Link adapter is connected.
If I choose Manage (or Ctrl-D) instead of Removable Devices, I get an option to go into Settings. There, I can choose NAT, Bridged, or other options. Those are independent of whether I connect TP-Link or any other device in the menu selection shown in this image. I assume those (i.e., NAT, Bridged, etc.) refer to the guest's connection to the host, not to these external USB devices.
So I think we are talking about the same thing. It looks a little different in your Ubuntu example, but close enough.
What I am saying, then, is that I can go online, in the VM, by going into Settings > check the Connect box > choose NAT or Bridged (or possibly one of the other options); but I cannot go online in the VM without checking the Connect box. This is true regardless of whether the TP-Link or Ralink WiFi adapter is connected at the menu pick shown above.
(I assume the Network menu pick highlighted in that image refers to a virtual ethernet connection.)
Unfortunately, in Settings > USB Controller, setting USB Compatibility to USB 2.0 or 3.1 does not seem to make any difference.