Me too
I'm also having this problem, and it's incredibly frustrating--so much so that I just bought VMware Fusion for this reason alone. Unfortunately Fusion has a few issues of its own...
My experience is exactly as described as above: Once a URL is opened from Windows into the Mac, the Mac's default browser is reset to the Windows browser. In other words:
1. Click a link in Thunderbird (Mac), and the page is opened in MacOS Firefox as expected.
2. Click a link in Outlook (Windows VM), and the page is opened in MacOS Firefox (again as expected).
3. Click the same link in Thunderbird as in step #1, and the page opens in IE in the Windows VM!
4. Quit and relaunch Firefox in MacOS, and the dialog appears: "Firefox is not the default browser..."