USB network adapters keeps connecting to host instead VMs

In Parallels settings I have "Connect to the active virtual machine" option turned on, but USB modems still connect to the host instead VMs.

Only in the case of the first launched VM (VM1), the modem connects to it. If a second modem is connected, it connects to the host instead of connecting to VM2 (active). And if i have two or more VMs powered-on and active, sometimes first modem disconnects from VM1, and connect to the host.

Host have its personal Wifi, i want to all VMs have separate modems (one modem for one VM). I do not want connect USB modem to host even for one second. Please help me with configuration... nothing works as expected.