Not a problem with Parallels
I don't think this is an issue with Parallels. I tried hooking my Pronto NG (TSU3000) up, and my Mac never sees it on the USB port (does not show up in System Profiler). It also does not show up in the list of USB devices that can be attached to Parallels. So, I think the issue is with the Pronto itself. If it never indicates to the USB port that it exists, then Parallels can't be expected to know it's there. Apparently, if Windows is running on my Mac under BootCamp, then it must advertise to Windows correctly. Or, at least the software can directly query the USB port. My guess is that the Pronto never advertises itself; the Pronto Editor scans all the USB ports for it.
I haven't hooked it up to my Windows box yet, so I don't know if the New Hardware wizard starts when it is plugged in. If not, this would confirm the theory above. If it does show up, the Pronto must not be advertising itself correctly on the Mac.
Just my 2 cents...