- VM breakouts are a security concern. While fairly uncommon this is a risk. Most of that risk exists in drivers and VM acceleration tools and can be mitigated.

- Some malware packers will detect virtual machines and refuse to run. You can bypass this by cracking the VM check of course - but that can sometimes be harder than dumping it on real hardware, depending on the protection and specifics of the situation.

These are much bigger concerns if you're working with 0 day high level stuff and not just typical skiddie malware you pulled off usenet or a fake crack in a youtube video. Most of that stuff is just iStealer or a shitty DDoS-focused RAT and whatever "FUD" RunPE packer was on sale for the cheapest price on HackForums or similar that day. Some people will play this up to be a bigger concern than it realistically is - but a VM will protect you from the malware in almost every case I've seen. Just remember to keep your VM software up to date and avoid using unnecessary pieces.

My paranoid setup is a dedicated machine with 2 VMs, one victim VM and one router VM, quite similar to their setup there. The difference is, my router VM goes over Tor and doesn't allow traffic from the second interface out in any other way. I also use libvirt with kvm with as few extensions and drivers as possible to prevent most VM-based attacks.