Not exactly a virtual reality answer, but by using some hand waving around "entanglement" you might be able to justify a person being in two places at the same time. Like I said, it's not virtual reality, because the other location is actual reality. But the end result is you get into some sort of machine, don't leave it, and act in another location where you can be hurt.
You can even leave something in where because the person spends half their time in either location that there is a 50% chance that ending the connection will take them home. They might have to get to a "synchronization" device in order to ensure they return to the correct location. It would also allow people to bring things back. ;)
To elaborate how this might work: (Keep in mind, this is all handwavium-technobabble)
A participant would walk into a "sender chamber" where they would have their quantum information sent to a "receiver chamber". This is similar to being teleported without destroying the original.
You might think that this is impossible because of the no cloning theorum, however, as I'll show later: we aren't cloning particles so much as we are splitting their quantum wave function between two locations.
Any movements made by the original are simultaneously made by the copy as well. The original can see what the copy sees and vice versa, they're basically the same person in two places. This information is transferred faster than light, because entanglement.
This is why the sender chamber has to be dark and silent, otherwise it would be confusing to see and hear things in two places. Imagine looking through a window while a projector is beaming an image onto it.
Momentum is a problem. Because if both copies share momentum then the copy will stop when the original hits the edges of the sender chamber. If momentum is not shared, then a knife going into the copy's skin won't move the original's skin out of the way.
Another problem is why participants can't just fly around by using a lift at the original side?
You could make momentum transmit one way, like the copy's momentum transmits to the original. But then how does the copy move from the original's movements?
So far my only solution is more handwavium, unless a commenter has something better.
The entire time, the participant's quantum wave function is split between two locations and they spend half their time in the chamber and half at the remote location.
This means that if you cut the power to the sender chamber and let the waves "collapse" there is a 50% chance that the participant will still be in the chamber instead of at the remote location.
The only way to guarantee that the participant returns to the chamber when the connection closes is to have the copy enter a "synchronization" device which manipulates the certainty of the copy's position so that the wave function doesn't collapse there.
Now that I think of it, you can solve the momentum problem I mentioned by changing the positional certainty of the original. In this case, the original stops being in the sender chamber and only the ghost of their wave function remains. The participant comes back when the devices swap the certainty back. This also means that there is a 100% chance the participant will stay at the remote location when the connection closes unless that swap happens.
You can also use these synchronization devices to bring things back from the remote location by using even more handwavium.
That's it. A huge pile of BS with holes all over the place. But it's more realistic than the idea that a body will harm itself because it "believes it was hurt".
Take this BS and do with it what you will. ;P