Learning from demonstrations is effective for robotic manipulation, but collecting sufficient task-specific data remains a major bottleneck. Under distribution shift, small errors compound, performance degrades, and expert time is often spent on redundant, low-value corrections instead of the few critical failure cases. We present VR-DAgger, a human-in-the-loop framework centered on an immersive VR application for dexterous teleoperation, demonstration collection, and selective policy correction. The VR client provides intuitive hand control with synchronized scene visualization, while a backend workstation runs simulation and learning, enabling autonomous rollouts without continuous operator oversight. We use Monte Carlo (MC) dropout to score uncertainty during Isaac Lab rollouts of a diffusion policy and select informative failure segments for correction. These segments are replayed in VR as clips, where the operator selectively labels and corrects the policy's behavior, concentrating supervision where uncertainty is highest without full-rollout monitoring or a separate intervention classifier. We evaluate on three dexterous manipulation tasks (Pan pick-and-place, Drawer opening, Valve turning) with a 10-DoF XHand under standard and challenging initial configurations. Active labeling consistently improves over behavioral cloning across all tasks, with gains of up to 23 percentage points. Compared to unguided human-in-the-loop inspection, VR-DAgger reduces per-sample collection time by approximately 40% by focusing review on selected segments rather than full rollouts.