I remember that whenever I plugged in a device into one of the USB slots of my MacbookPro, a choice popped up asking to which OS I would like to have the device connected. This option suddenly has disappeared and I see noc way at the moment to connect a USB-drive to the VM.
Found the solution: In settings of the VM one can choose under Hardware->USB&BLuetooth -> USB-Verbindungseinstellungen (USB-Connection settings) what to do when a new device is connected.
The problem persists: Although it seemed to work again once, suddenly, although I have a VM active (Windows 8.1), the question where to connect to, is not asked. Instead it is attached to macOS directly.
Another datapoint: When this all happened, the USB device was connected via a Sabrent USB3.0 hub. Connecting the drive directly to the other USB port, made the above procedure work again.