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.