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To get the result you expect from Sage\TeX (e. g. in a file named tex.foo), you have to :

1. \LaTeX your .tex file (i. e. pdflatex foo.tex : the \sagexxx macros will generate a Sage program foo.sagetex.sage and (via the foo.aux file) leave _references_ to the sage outputs, which are yet to be generated ; these (unfilled) references will print as ?? in the output file.

2. Execute your Sage program (i. e. sage foo.sagetex.sage). This will compute the outputs, place them in specific files, and, IIRC, update the foo.aux file.

3. Re-\LaTeX your .tex file ; now that the Sage outputs exist and are referenceg in foo.aux, they will be inserted in your output PDF.

All of this is well-documented in $SAGE_ROOT/local/share/texmf/tex/latex/sagetex/sagetex.tex ; reading and modifying $SAGE_ROOT/local/share/texmf/tex/latex/sagetex/example.tex is also useful.

Now, since you use MikTeX (a Windows port of \LaTeX), you have to work both from Windows (to execute pdflatex) and from the Linux VM (to run sage), unless you have managed to create a Windows link able to call Sage from a Windows command line. Thes two have to work on the same directory (for example by creating a shared directory and cding to it from both sides).

HTH,