The virtual directive is intended to be the smart way to include information into a page. Whether its a page or a program you are still attempting to 'include' its output into your page. The advantage to using virtual is that you can use files or programs without having to change the whole of your include statement.

Its also a little securer.

Now I know apache supports both and so does IIS, but as to whether you can include CGI apps in a 'shtml' page on IIS - well thats one to look to MS about.