The Mac has the hard drive attached to it but Windows does not as its like having a separate computer but sharing keyboard, screen and mouse like we used to do with the old KVM switches. However if you want both machines to have simultaneous access then you have to remember that when you run a Windows VM it is effectively a separate computer to the Mac host.
This will take the USB drive away from the Mac and connect it to the Windows VM. Have you taken ownership of the USB drive in the Windows VM? Go to 'removable devices' and select 'connect'.
