From several versions back (I think since version 9.x), Smartcard devices have been made shared by default between host and guest VMs. You might see a virtual CCID device in the Device Manager on the Windows VM. That is the likely reason why the Watchdata USB key is not shown in the list.
You could shut down the VM an add the following lines to the vmx configuration file. This means CCID will be exclusive to either to the host or to one guest VM.
usb.generic.allowCCID = "TRUE"
usb.ccid.disable = "TRUE"
In case that does not make the Watchdata device show up even with those lines, you might also have to stop the pcscd on the Ubuntu host.