This means the adapter is trying to Bridge to the Thunderbolt Ethernet adapter, and you apparently don't have one.
In the guest Network settings, under the "Name:" dropdown, pick an Ethernet adapter you do have, the one that you're plugged into.
(Note that if all you have in the dropdown is a Wifi adapter, Bridged may not always work with a Wifi adapter, because of to-the-letter implementation of the Wifi protocols by either the wifi adapter driver or the access point firmware. Technically Wifi cannot Bridge, but some combinations of wifi adapter drivers and access point firmware implement these protocols in a lax fashion so Bridged can squeeze through. This is a limitation of Wi-fi, not caused by Virtualbox. If it works where you are, good. If you can't get a good network trying to Bridge with a wifi adapter, you'll have to go to wired Ethernet on the host PC.)