Apple - How can I force Parallels to ask about re-associating my USB drive with my Mac or VM?

I had the same problem, with a USB disk drive. Parallels was configured to ask each time yet always put the device to the guest I'd first used it on. Choosing Parallels Preferences didn't help. The device wasn't listed as one that had a permanent assignment.

I think this is expected behavior as the documentation talks about a "New" device.

The fix for me was to Option-click (Alt-click) the Parallels icon in the Dock and choose Devices -> USB and there I saw the device listed with a tickmark next to it. Selecting the device removed the tickmark. Next time the devise was connected I was asked.

Even though you aren't telling it to remember devices, you can remove any 'permanent' assignments by following this guide. This should list all the devices for which it remembers Host vs VM assignments

Specifically:

1. Do one of the following:
    Option-click (Alt-click) the Parallels icon in the menu bar and choose Preferences.
    If the Parallels Desktop menu bar is visible at the top of the screen, choose Parallels Desktop > Preferences.
2. Click USB.