Separate names with a comma.
I have exactly the same problem. My workaround is that when I want to change network location, I suspend my VM, then close Parallels, switch...
I've just upgraded to Build 4560, and could never get my BB to connect (I'm just looking for tethered modem support) before, but voila, I plugged...
Have a look at this thread - although it's about Blackberry wireless modem, they talk about sharing this wireless connection with the Mac OS from...
According to the VMWare support forums, that known issue with some Macs and with the latest OSX update also includes the Santa Rosa based MacBook...