you kinda made sense, I think I know what you are talking about... usually the reason that OSX won't support something is because the software or drivers that work with it aren't written for OSX. A USB device should work fine in a guest operating system (according to the latest release notes given by Parallels) so, what you should probably do is upgrade to the latest release canidate that works for you, install the drivers in the guest OS, plug in your USB device, and then from the bottom bar in the parrelles menu, select the USB device that you want to connect to your guest OS.
I hope my reply made some sense to you.. for the most part your best bet is to try and see what happens, but for things like webcams and external harddrives, the issue should be solved with the instillation of drivers.
In addition, just as an FYI, if you are having trouble connecting an external HD to your OSX you might be able to solve that problem by opening the disc manager (Accessories -> Utilities -> disc manager) and formatting the External HD for Mac OSX Journaled. however, doing so can impare your ability to connect it to a different OS in the future.
Hope I helped >_<
