On NT, FAT32 won't support EA's, FAT actually does (might have to be formatted on OS/2). NTFS does have a stream dedicated to OS/2 EA's, even supports codepages unlike a normal stream or file on NTFS which use UTF. Unless MS has removed support.
I'd guess vbox itself fails to transfer the EA's.
On Linux, only some file systems support EA's, or as they call them, xttr's and it has to be turned as a mount command. Ext4 for example only supports 4kb xttr's, others such as JFS support 64kb or more. I notice on Mint, mounting an OS/2 JFS partition doesn't seem to enable xttr's, though it does mount them as case insensitive as it should.