Similar experience here. I believe I noticed this immediately after upgrading to OS X Lion, but didn't take the time to investigate.
Today, I need the data on my USB drive under Parallels. When initially plugged in, the option is given to associate drive with Mac or Parallels, and I selected Parallels. But the drive didn't show up; instead, I see it under Finder on the Mac side.
I ejected and tried again, same thing. Also tried unchecking and re-checking device under Parallels|Devices|USB, to no avail. I can't seem to get the drive to appear under Parallels.
Hoping for a direct response with solution, but will continue searching...