I'd recommend to install you VM using the Windows VM on Unraid Guide without any Passthrough. Once it is setup and running, you will need to install a VNC Server, as the VNC you get from UnRaid will be replaced by your GPU and won't be avialable. You can use Remote Desktop from windows, but this will never use the GPU and you will run into issues. So use something like a RealVNC Server for the basic setup and Parsec for gaming, etc.
Once that is setup, begin with the Passthrough stuff.
Another thing to consinder is that if you want to be able to run in headless mode (no screen attached to the GPU output) you gonna need display dongle.