Virtual power plant (VPP) is a key solution to enhance grid security and achieve the system balance by integrating and managing distributed energy. However, due to the imperfect mechanism of VPP's participation in the electricity market, the profitability of VPP faces greater uncertainty. To this end, this study explores existing challenges and the design of mechanisms for VPP participation in electricity markets at multiple time scales. The obtained findings show that: i) the immature market trading mechanism undermines the revenue of VPPs and the market access criteria for VPPs is unclear; ii) the electricity market is insufficiently receptive to emerging flexibility resources; iii) the ancillary services market is small in scale and few in variety, making it difficult to reflect the value of VPPs. To cope with these challenges, this paper puts forward the following recommendations: i) to implement differentiated access standards for VPPs participating in the various types of electricity markets; ii) to define the participation path of VPPs by market type; iii) to innovate the varieties of auxiliary services, expand the scope of participation of auxiliary services market players, and strengthen the coordination and convergence between auxiliary service markets and spot markets.