Spoke too soon. Even though this works.
I've now noticed a big issue with the way VMWare Workstation works with USB.
After a while, it will disconnect the USB Modem Device from the VM.
Further more, you won't be able to reconnect the USB Device (Error message, this device is already connected to a VM).
The only way out is to disconnect the device from the USB Port and reconnect it again.
Looking at the Device manager on the Host, I can see a VMWare USB Device on the list (For the Modem). Disconnect the physical modem and this device is then released.
Reconnect the USB Modem and then attempt to reconnect again and then it works.
But for some reason, it will disconnect the device back to the host within the hour. (I don't know if it is a power down on the USB device or something that forces it to get disconnected from the VM)
Someone from VMWare Please explain what is going on, why would a USB device that I've connected (disconnected from host), suddenly return back to the host after an hour?