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The Mac for whatever reson has set the DEFAULT audio device to your headset. Go to Preferences "Sound" and check those devices that should be...
When you select new VM from Parallels did you specify WinXP as the operating system from the drop down option box? ajm
I must completely agree with your first 2 paragraphs! Too the rest - Getta Life!
I shut-off the device before booting Parallels or unplug my hub.
Have you tried the Parallels beta? It works for me - MacBook Pro.