Hi All,
I had the same problem ("Extend Volume" option grayed out) on host(Mac 10.11), VirtualBox(5.0.10), guest(Windows 10). I'm not sure whether I created a problem by renaming the VM, or some other shenanigans, but I found a workaround that seems to be fine:
right-click the partitioned space and make it an NTFS mounted extension. Sorry, I can't remember the exact context menu item name, but I chose [created then chose] an empty folder in the C: drive to mount the unpartitioned space (e.g. c:/MoreStorage/). Then I changed the data storage path for my application to that path.
I did find that my Mac HD had errors according to Mac Disk Utility (yikes), but even after repairing the disk (by rebooting and holding CMD-R, opening Disk Utility and doing first aid; reported no errors when done) I was unable to get the "extend volume" option to be selectable. Go figure. But, so far mounting the space into the NTFS file system is working for me, so I figured I'd share. Best wishes.