Options for dual-role USB on an embedded device supporting serial connections
No you only need one USB connection. You change the operating mode of the USB peripheral between host and device mode. Only one of these can be enabled at the same time. STM32F4 supports both modes. If you use the OTG feature then the mode gets selected automatically.
It won't work except in situations where you connect to another OTG device that supports HNP. Your PC is not an OTG device so it can't do this.
Virtual Comm Port is just a windows driver that causes a certain configuration of CDC device (CDC is a USB spec class) to appear as a com port in windows. The underlying USB component is just the CDC protocol (well, a particular part of it, which I guess you could also think off as the VCP part).
Being a host is really an entirely different thing. You need to enumerate devices, generate SOF packets etc. ST has examples for how to do this, but it's essentially an entirely new software stack.