Are you trying to install a Threat Emulation appliance? That cannot be installed in a VM, only on specific Check Point hardware as it requires specific Intel hardware.
If you're trying to install a regular gateway that can send files to a threat emulation appliance of ThreatCloud, you can install this in a VM.
However, the actual emulation must take place either in ThreatCloud or on a specific Check Point appliance (which cannot be installed in a VM).
For third parties sending traffic to Check Point for Threat Emulation, it can be done over ICAP, but it requires a patch.
Refer to the following SK: Check Point support for Internet Content Adaptation Protocol (ICAP) server