How do I permanently disable notifications about Auto capture keyboard and Mouse pointer integration for a Virtualbox VM?

To remove the message once: click the X button.

To remove the message once and for all: click the crossed-out balloon next to the X.

To reinstate these messages, go to Settings -> User Interface -> File - Reset all warnings (this is my translation, could be slightly different).

Moving my comment into an answer:

VBoxManage setextradata global GUI/SuppressMessages "all"

You can see a more granular view of the possible values for GUI/SuppressMessages with VBoxManage getextradata global enumerate - mine looked like:

confirmInputCapture,remindAboutAutoCapture,remindAboutMouseIntegrationOff,remindAboutMouseIntegrationOn,remindAboutWrongColorDepth

before I set it to all.

I figured this out from https://forums.virtualbox.org/viewtopic.php?f=6&t=25797&hilit=disable+notification and https://forums.virtualbox.org/viewtopic.php?f=34&t=66523 but apparently all is not documented and was discovered by reading the source.