Yes, I had this problem too. It has nothing to do with suspending/restarting Windows, which works perfectly fine in v3 and v4 thankyouverymuch, Statman.
The problem is when adding a USB device (in my case, plugging a USB SD card reader into the machine), Parallels jumps up and asks me if I want to use the device in the host or the guest environment. This is new to 4.0. Choosing the host environment works fine.
Choosing the guest environment doesn't do anything in parallels 4.0, as Windows for some reason doesn't see it. Neither does doing what you had to do in 3.0, which is manually going to the "Devices" menu in parallels and adding the USB reader. In either case, you have to get Windows Device Manager to rescan for USB devices.
Hopefully this bug will get fixed SOON in another revision, because this is NOT an intuitive way to interact with these devices, which I have to plug and unplug many times a day!
(Note: another way to get to Device Manager is clicking Start, right-click on My Computer, and go to the Hardware tab.)