Have you taken ownership of the USB drive in the Windows VM? Go to 'removable devices' and select 'connect'. This will take the USB drive away from the Mac and connect it to the Windows VM.
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. 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 have configured network settings in bridged mode then the two machines will have different IP addresses and be connected together on a virtual LAN. So for Windows to access that drive plugged into the Mac you'll have to set up drive sharing in the macOS and then get Windows to log onto that Mac drive 'add a network connection'. You only need to set this up once and each time you launch Windows the connection will be made.
You can also do the reverse take ownership of the drive in Windows and get the macOS to connect to the Windows server.
I do this all the time with Linux, Windows and macOS some are virtual machines and others are remote physical machines but all can access shared drives. Its neat to do a Windows indexed search and find matches on the networked machines with different OS'.
Have fun,
MN
