You are wrong. I don't know which VM software you are using, but there is no problem running it in full screen under VirtualBox or VMWare Player. it will run slightly faster natively, but not enough to worry about. Let's face it, ultimate speed is not normally a requirement with a server.
If you are happy working with UEFI and GPT partitioned disks then you shouldn't have any problem doing a dual-boot install. But it's always a risk that one mistake will leave you with an unbootable system or even wipe your Windows 8 installation. I guess it all depends upon what you are going to use the server for; presumably you have a number of computers else why install server software? If you just want to learn about server software then a VM...