I am not able to get my thunderbolt ethernet adaptor recognized by Parallels. When I plug it in I am not asked which system I'd like to use it with. It is also not in the devices list to attach it to my guest OS (Windows XP). The adaptor is working correctly in OSX so I know the system sees it and it is functioning correctly.
Try this on the preferences of your guest OS window, change the network connection from shared to bridged, then "display Ethernet"