I have gone to Settings → General → Advanced → Shared clipboard and changed to Bidirectional. Also did the same for Drag'n'Drop and changed it to Bidirectional too.
However I am still unable to copy and paste from my Windows 10 desktop to my VirtualBox 6.1.2 which runs on Ubuntu 20.04.
I basically want to be able to copy and paste from my Windows machine to my virtual Ubuntu machine.